1.

We are examining the price of a European put option on a share of stock GG with one period to expiration. No dividend is expected prior to expiration. The current stock price is $130, the exercise price is $135, the risk-free rate is 4%. The stock price of the next period is either $175.5 or $84.5. If we use replicating portfolio approach, what is the number of shares (delta) and what is the amount invested in the risk-free asset (B)?

		Delta = 0.44505; B= - 36.161
		Delta = -0.5549; B = 93.647
		Delta = - 0.44050; B = 36.161
		Delta = 0.5549; B = - 93.647

2. We are examining the price of a European call option on a share of stock GG with one period to expiration. No dividend is expected prior to expiration. The current stock price is $130, the exercise price is $135, the risk-free rate is 4%. The stock price of the next period is either $175.5 or $84.5. What is the risk-neutral probability of the up state?