You want to replicate the payoffs of a European call option with a strike price of $100 and a maturity date of exactly one year. The underlying stock price is currently $100, and you believe that the underlying stock will either increase by 10% or decrease by 10% over the next year.

If the current risk-free rate is 5% per annum, then how many units of the underlying stock should you hold to replicate the payoffs of this call option?

For simplicity, assume that each call option covers only one unit of the underlying stock.

Group of answer choices

0.60

0.40

0.45

0.50

0.55