Question: 7 We will derive a two-state put option value in this problem. Data: So = $100; X = $110; 1 + r= 1.10. The two

7 We will derive a two-state put option value in this

7 We will derive a two-state put option value in this problem. Data: So = $100; X = $110; 1 + r= 1.10. The two possibilities for Stare $130 and $80. Required: a. The range of Sis $50 while that of P is $30 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 03:40:36 Print b. Form a portfolio of three shares of stock and five puts. What is the (nonrandom) payoff to this portfolio? (Round your answer to 2 decimal places.) References Nonrandom payoff c. What is the present value of the portfolio? (Round your answer to 2 decimal places.) Present value d. Given that the stock currently is selling at $100, calculate the put value. (Do not round intermediate calculations and round your answer to 2 decimal places.) Put value 10 points

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