PART II THE BINOMIAL OPTION PRICING ON PRICING MODEL ons #10-15 based on the following informa Answer questions #10- #15 based on We have a two-state, two-period world (i.e. there The current stock price is 100 and the risk-freera Each period the stock price can either uropean call option on this stock with an exercise the end of the second period. .e. there are time periods -0,1,2). risk-free rate each period is 5% er go up by 10% or down by 10% stock with an exercise price of 90 expires at 10. The current price of the call is about a. 16.68 b. 17.42 c. 18.89 d. 19.22 c. 20.01 11. The initial (t = 0) hedge ratio is about a. 0.22 b. 0.32 c. 0.65 d. 0.89 e. 1.00 12. The two hedge ratios at t=1 are about: a. impossible to estimate since there is only one hedge ratio at tal b. 1.00 and 0.75 c. 0.00 and 0.25 d. 1.00 and 0.50 e. 0.00 and 0.33 13. If we initially wrote 1 call, then the value of the hedged portfolio one period later would be closest to: a. $62.65 b. $73.65 c. $84.65 d. $89.65 e. $96.65