4. We will derive a two-state put option value in this problem. We have the following information: So = 100; X = 110; 1 + ry = 1.10. The two possibilities for Sy are 120 and 80. a. Show that the range of Sis 40 while that of put option is 30 across the two states. What is the hedge ratio of the put? b. Form a portfolio of three shares of stock and four puts. What is the (nonrandom) pay-off to this portfolio? What is the present value of the portfolio? c. Given that the stock currently is selling at 100, what is the value of this put option