Question: We will derive a two-state put option value in this problem. Data. S0-100; X-110; 1 + r-1.10. The two possibilities for ST are 130 and

We will derive a two-state put option value in this problem.

We will derive a two-state put option value in this problem. Data. S0-100; X-110; 1 + r-1.10. The two possibilities for ST are 130 and 80. a. The range of S is 50 while that of Pis 30 across the two states. What is the hedge ratio of the put? (Negative value should be indicated by a minus sign. Round your answer to 2 decimal places.) Hedge ratio b-1. Form a portfolio of three shares of stock and five puts. What is the (nonrandom) payoff to this portfolio? (Round your answer to 2 decimal places.) Nonrandom payoff b-2. What is the present value of the portfolio? (Round your answer to 2 decimal places.) Present value$ c. Given that the stock currently is selling at 100, calculate the put value. (Round your answer to 2 decimal places.) Put value> We will derive a two-state put option value in this problem. Data. S0-100; X-110; 1 + r-1.10. The two possibilities for ST are 130 and 80. a. The range of S is 50 while that of Pis 30 across the two states. What is the hedge ratio of the put? (Negative value should be indicated by a minus sign. Round your answer to 2 decimal places.) Hedge ratio b-1. Form a portfolio of three shares of stock and five puts. What is the (nonrandom) payoff to this portfolio? (Round your answer to 2 decimal places.) Nonrandom payoff b-2. What is the present value of the portfolio? (Round your answer to 2 decimal places.) Present value$ c. Given that the stock currently is selling at 100, calculate the put value. (Round your answer to 2 decimal places.) Put value>

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