Question: Suppose that over the next six months, we believe the stock will either go up by 13%, or go down by 11.5%. The 6-month risk-free

Suppose that over the next six months, we believe the stock will either go up by 13%, or go down by 11.5%. The 6-month risk-free interest rate is 2%. If I wanted to construct a portfolio with the same payoffs as the call option with a $96 strike price, how many shares of the stock should I buy? How much should I borrow? Based on the value of this replicating portfolio what should be the price of the six-month call option today? What should be the price of the six-month put option with the same strike price?

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