Question: Data: So=107; X = 110; 1 + r= 1.12. The two possibilities for ST are 155 and 95. Required: a. The range of S

Data: So=107; X = 110; 1 + r= 1.12. The two possibilities for ST are 155 and 95. Required: a. The range of S is 60 while that of P is 15 across the two states. What is the hedge ratio of the put? b. Form a portfolio of one share of stock and four puts. What is the (nonrandom) payoff to this portfolio? c. What is the present value of the portfolio? d. Given that the stock currently is selling at 107, calculate the put value.

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