Question: Question 1 50 pts a Consider a call option on Stock X. The call expires in 7 months and has a strike price X=$22. The

Question 1 50 pts a Consider a call option on Stock

Question 1 50 pts a Consider a call option on Stock X. The call expires in 7 months and has a strike price X=$22. The current price of stock X is $20. In 7 months, the stock price can either go up to 23 (up state) or go down to $19 (down state). The call premium in the 2 states : $1 in the up state and $0 in the down state. Assume that the risk-free rate is 12% per annum. Calculate the hedge ratio. (Please report your answer using 2 decimals)

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