Business, 17.12.2019 05:31, campbellkruger

We will derive a two-state put option value in this problem. data: s0 = 180; x = 190; 1 + r = 1.1. the two possibilities for st are 210 and 110.

a.
the range of s is 100 while that of p is 80 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 4 shares of stock and 5 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 180, calculate the put value. (round your answer to 2 decimal places.)

put value $
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We will derive a two-state put option value in this problem. data: s0 = 180; x = 190; 1 + r = 1.1...