Consider the binomial model with T = 2, u = 0.2, d = 0.3, r = 0.1, p = 0.6, S0 = 100, and the

following portfolio:

begin with 10 shares of stocks, and 1000 shares of bonds;

if the stock price becomes larger than 110, then trade 20% the stocks for bonds;

if the stock price becomes smaller than 90, then trade 40% of the bonds for stocks.