Question: Data: S0 = 140; X = 154; 1 + r = 1.1. The two possibilities for ST are 170 and 122. a-1. The range of

Data: S0 = 140; X = 154; 1 + r = 1.1. The two possibilities for ST are 170 and 122. a-1. The range of S is 48 while that of C is 16 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 154. (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 10% interest rate is an effective rate per period.)

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