Question: Can you please show your work? Problem 16-6 a. Consider a call option. If, in a two-state model, a stock can take a price of

Can you please show your work?

Problem 16-6 a. Consider a call option. If, in a two-state model, a stock can take a price of $132 or $99, what would be the hedge ratio for each of the following exercise prices: $132, $125, $115, $99? (Leave no cells blank - be certain to enter "0" wherever required. Round your answers to 2 decimal places.) Answer is complete but not entirely correct. Hedge Ratio 0.00 132 4.71 125 1.88 X b. What do you conclude about the hedge ratio as the option becomes progressively more in the money? Increases to a maximum of 10 Decreases to a minimum of O

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