Question: We will derive a two-state put option value in this problem. Data: S0 = 90; X = 100; 1 + r = 1.10. The two

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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