Data. So = 120:X= 132; 1 + r= 1.1. The two possibilities for ST are...
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Data. So = 120:X= 132; 1 + r= 1.1. The two possibilities for ST are 150 and 96. 1. The range of S is 54, while that of C is 18 across the two states. What is the hedge ratio of the call? Round your answer to 2 decimal places.) Hedge ratico 2. Calculate the value of a call option on the stock with an exercise price of $132. (Do not use continuous compounding to calculate the present value of X in this example because we are using a two-state model here, not a continuous-time Black-Scholes model.) (Round your answer to 2 decimal places. Omit the "S" sign in your response.) Call value
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