Question: Data: S 0 = 100; X = 120; 1 + r = 1.12. The two possibilities for S T are 160 and 80. a. The

Data: S0 = 100; X = 120; 1 + r = 1.12. The two possibilities for ST are 160 and 80.

a.

The range of S is 80 while that of P is 40 across the two states. What is the hedge ratio of the put? (Round your answer to 2 decimal places. Negative amount should be indicated by a minus sign.)

Hedge ratio

b-1.

Form a portfolio of one shares of stock and two puts. What is the (nonrandom) payoff to this portfolio? (Omit the "$" sign in your response.)

Nonrandom payoff $

b-2.

What is the present value of the portfolio? (Round your answer to 2 decimal places. Omit the "$" sign in your response.)

Present value $

c.

Given that the stock currently is selling at $100, calculate the put value. (Round your answer to 2 decimal places. Omit the "$" sign in your response.)

Put value $

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