Question: we will derive a two-state put option value in this problem. Data: S.-100, X 110: 1 +?1.10. The two possbilities for S7 are 130 and

we will derive a two-state put option value in this problem. Data: S.-100, X 110: 1 +?1.10. The two possbilities for S7 are 130 and 80. a. The range of S is 50 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.) Hedge ratio b. Calculate the value of a call option on the stock with an exercise price of 110. (Do not use continuous compounding to calculate the present value of Xin this example, because the 6 interest rate is quoted as an effective per-period rate.) (Do not round intermediate calculations. Round your answer to 2 decimal places.) Call value

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