The stock of Sea World Entertainment (NYSE: SEAS) is currently trading at $26.50 per share. The stock pays no dividends. The volatility of the stock is an annual standard deviation of 28%. Consider a call option on that stock that has a strike price of $30 per share, and tau of 0.75 years. The continuously compounded simple risk-free interest rate is 2% per year. How many shares of stock would be in the replicating portfolio that synthesizes one of these call options? a) -0.4 or less b) Between -0.4 and 0 c) 0 d) Between 0 and 0.4 e) 1.371 f) More than 1.371

the answer is D, between 0 and 0.4, please show the calculation in details