Question: We will derive a two-state call option value in this problem. Data: so = 220; X = 230; 1 + r= 1.1. The two possibilities

We will derive a two-state call option value in this problem. Data: so = 220; X = 230; 1 + r= 1.1. The

We will derive a two-state call option value in this problem. Data: so = 220; X = 230; 1 + r= 1.1. The two possibilities for St are 250 and 150. a. The range of Sis 100 while that of C is 20 across the two states. What is the hedge ratio of the call? (Round your answer to 2 decimal places.) Answer is complete and correct. Hedge ratio 0.18

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