Question: nts C eBook Print References We will derive a two-state call option value in this problem. Data: Se $280; X= $290; 1+r=1.10. The two

nts C eBook Print References We will derive a two-state call option value in this problem. Data: Se $280; X= $290; 1+r=1.10. The two possibilities for sy are $320 and $200. The portfolio consists of 1 share of stock and 4 calls short. Required: a. The range of S is $120 while that of C is $30 across the two states. What is the hedge ratio of the call? (Round your answer to 2 decimal places.) Hedge ratio 120.00 b. Calculate the value of a call option on the stock with an exercise price of $290. (Do not use continuous compounding to calculate the present value of X in this example, because the interest rate is quoted as an effective per-period rate.) (Do not round intermediate calculations. Round your answer to 2 decimal places.) Call value

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