Correct answer: C

To replicate buying wheat today and holding it for one year, the synthetic position is:

• Long the wheat futures contract so that at maturity you effectively acquire wheat at the futures price, and
• Long a zero-coupon bond that pays the futures price at maturity.

The present value of the one-year futures price is:

$$PV = 8.00 \times e^{-0.04} \approx 7.69$$

So the correct synthetic position is:

• Long a riskless zero-coupon bond with current price of $7.69 per bushel, plus
• Long the one-year wheat futures contract

This is option C.