Question: We win derive a two-state put option value m this problem Data S_0 = 130; X= 140; 1 + t = 1.1. The two possibilities

We win derive a two-state put option value m this problem Data S_0 = 130; X= 140; 1 + t = 1.1. The two possibilities for S_t are 170 and 95. The range of S is 75 while that of P is 45 across the two states. What is the hedge ratio of the put? Form a portfolio of 3 shares of stock and 5 puts. What is the (nonrandom) payoff to this portfolio? What is the present value of the portfolio? Given that the stock currently is selling at 130, calculate the put value

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