Data: S₀ = 120; X = 126; 1 + r = 1.05. The two possibilities for S_T are 150 and 102. a-1. The range of S is 48 while that of C is 24 across the two states. What is the hedge ratio of the call? (Round your answer to 2 decimal places.)

Hedge ratio=?

a-2. Calculate the value of a call option on the stock with an exercise price of 126. (Do not use continuous compounding to calculate the present value of X in this example because we are using a two-state model here; the assumed 5% interest rate is an effective rate per period.) (Do not round intermediate calculations. Round your answer to 2 decimal places.)

question 2

You are attempting to value a put option with an exercise price of $150 and one year to expiration. The underlying stock pays no dividends, its current price is $150, and you believe it has a 50% chance of increasing to $200 and a 50% chance of decreasing to $100. The risk-free rate of interest is 10%.

What is the value of the put using the risk-neutral shortcut? (Do not round intermediate calculations. Round your answer to 3 decimal places.)

call Value=?