Question: Consider a call option on a stock. The call option will expire in one years time. The current stock price is P40, and the strike

Consider a call option on a stock. The call option will expire in one years time. The current stock price is P40, and the strike price of the call option is P42. At expiration date, the stock price can either be P45 or it can be P35. The risk free interest rate is 5%. (a) Find the number of shares to hold and the amount to invest in the cash bond to create a riskless portfolio

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