The current price of one BSS share is $34.33 and over the next month the share price will either increase by 7.2% or decrease by 5.9%.

A European put option on an BSS share will expire at the end of one month. The strike price is $33.85. MQBS shares will not pay any dividends during the next month. You can borrow money today for one month at a rate of j12 = 6% p.a.

Consider the replicating portfolio (that is, the investment strategy which will give identical payoffs, at the end of one month, to the put option) that involves selling h shares today, and lending out $B for one month. Find the values of h and B (Round your answers to five decimal places). Select the correct answer.

a. h = 0.326756 B = 11.965376

b. h = 0.343649 B = 12.583977

c. h = 0.351510 B = 12.584374

d. None of above answer is correct