Suppose we are given the following information on call and put options on a stock: S, X, r, T, and . Thus, based on the BSM model, we can estimate PV(X), d1, d2, N(d1, N(d2), N(d1), N(d2), c and p. What is the initial trading strategy required by the no-arbitrage approach to replicate the call option payoffs for a buyer of the option?

a.

Buy N(-d1) shares of stock and short sell N(d2) shares of zero-coupon bonds.

b.

Short sell N(d1) shares of stock and buy N(d2) shares of zero-coupon bonds.

c.

Buy N(d1)shares of stock and short sell N(d2) shares of zero-coupon bonds.