Question: We will derive a two - state put option value in this problem. Data: S 0 = 9 0 ; X = 1 0 0

We will derive a two-state put option value in this problem. Data: S0=
90; X =100; 1+ r =1.10. The two possibilities for ST are 130 and 70.
a. What is the hedge ratio of the put?
b. What is the (nonrandom) payoff to a riskless portfolio constructed by
this stock and put option?
c. What is the present value of the portfolio?
d. Given that the stock currently is selling at 90, what is the value of the
put option?

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