Question: Data: S0 = 108; X = 120; 1 + r = 1.1. The two possibilities for ST are 130 and 90. The range of S

Data: S0 = 108; X = 120; 1 + r = 1.1. The two possibilities for ST are 130 and 90. The range of S is 40 while that of P is 30 across the two states. Form a portfolio of three shares of stock and four puts with a nonrandom payoff of 390. What is the present value of the portfolio? Given that the stock currently is selling at 108, calculate the put value.

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