You begin to climb the rope and are horrified to look downwards and see the section that you have climbed simply disappearing. Above you you can only see another blanket of cloud, and below you can only see a cloud blanket.
There is obviously no way down now, so you must keep climbing up. You could always let go of the rope (d) and try free falling from the top of a pyramid without a parachute (bound to get you into the Guiness Book of Records).
Exits are up or down...down...down...