Question: Data: S 0 = 100; X = 110; 1 + r = 1.1. The two possibilities for S T are 130 and 30. a-1. The

Data: S₀ = 100; X = 110; 1 + r = 1.1. The two possibilities for S_T are 130 and 30.

a-1. The range of S is 100 while that of C is 20 across the two states. What is the hedge ratio of the call? (Round your answer to 2 decimal places.)

a-2. Calculate the value of a call option on the stock with an exercise price of 110. (Do not use continuous compounding to calculate the present value of X in this example because we are using a two-state model here with discrete periods, not a continuous-time Black-Scholes model.) (Do not round intermediate calculations. Round your answer to 2 decimal places.)

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