Suppose that stock price move up by 46.34% or down by 26.83%. The current stock price is $41. There are no dividend payments. You are computing the current value of aEuropeancalloption with the strike price of $40 inone year. The risk free rate is APR 8% with continuous compounding. Compute the value of delta of the synthetic option (replicating portfolio).

a)Less than 0.1.

b)Larger than 0.1 but less than 0.3.

c)Larger than 0.3 but less than 0.6.

d)Larger than 0.6 but less than 0.9.

e)Larger than 0.9.