1) Cuu=

1. 69
2. 129
3. 139
4. 149
5. 159

2) Cud=

1. 0
2. 91
3. 120
4. 108
5. 111

3) Cdd=

1. 0
2. 22
3. 5
4. 3
5. 34

4) To calculate Cu, the hedge ratio is

1. 0.3333
2. 0.8846
3. 0.7865
4. 0.2876
5. 0.4657

5) Cu=

1. 45.66
2. 67.77
3. 77.89
4. 23.33
5. 41.82

6) To calculate Cd, the hedge ratio is

1. 0.111
2. 0.475
3. 0
4. 0.222
5. 0.243

7) Cd=

1. 2.222
2. 3.983
3. 3.333
4. 1.222
5. 0

8) To calcuate C0, the hedge ratio is

1. 0.345
2. 0.697
3. 0.222
4. 0
5. 0.567

9) C0=

1. 23.4
2. 24.3
3. 25.3
4. 28.7
5. 29.2

A stock price can take only two possible values for 1 period X=$100 T=2 period Rf=10% per period No dividend payment before the expiration date European style call option