The interest rate is 2% per year. The stock price of ABC is current $88 and it pays no dividends. The stock price a year from now will either be $100 or $68. You sell your client a call option on ABC with a strike price of $92 and an expiration date 1 year from now. What is the hedge ratio of this call option?

a) 0.21 b) 0.28 c) 0.37 d) 0.57 e) None of the above