A hedge funds wants to use a binomial tree to replicate a put option on a stock. The time step is 0.25 years and the interest rate for continuous compounding is 1.5%. At time t, the stock price is $94 per share, the put's delta is -0.4378 per share, and B = 47.3813 per share. Over the first time step, suppose the stock price moves up. In the upper node at t+0.25, the stock price is $97.499 per share, the put's delta is -0.3604 per share, and B = 40.0129 per share. The option contract size is 400 shares. What trades should be done at time t+0.25 to rebalance the replicating portfolio?单项选择题

A

Short 30.96 shares of stock and reduce borrowing by $3,018.60

B

Short 36.04 shares of stock and lend $4,001.29

C

Short 144.16 shares of stock and lend $16,005.14

D

Buy 144.16 shares of stock and borrow $16,005.14

E

Buy 30.96 shares of stock and reduce lending by $3,018.57

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