Consider a portfolio consisting of a long call with an exercise price of X,a short position in a non-dividend paying stock at an initial price of S₀,and the purchase of riskless bonds with a face value of X and maturing when the call expires.What should such a portfolio be worth? A)C + P - X(1 + r)^-T B)C - S₀ C)P - X D)P + S₀ - X(1 + r)^-T E)none of the above

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The correct answer isn't listed because the value of such a portfolio, according to the principles of financial derivatives and arbitrage pricing, should be the cost of the call option (C) plus the present value of the bonds (which is X discounted back at the risk-free rate r for the time to maturity T) minus the current price of the stock (S). None of the provided options accurately reflects this calculation.

Consider a Portfolio Consisting of a Long Call with an Exercise