9. Which one of the following is true? (a) Call premium is increasing in the expected return on the underlying anset. (b) Call premium is decrensing in the expected return on the underlying esset. (c) The expected return on the underlying asset is irrelevant. (d) Options (a), (b), and (c) are all incorrect. 10. Over the coming year, Stock X price will decrease to $80 from its current level of $100 or it will rise to $125. The one-year interest rate is 2.5%. Consider a one-year put option on stock X with a strike price of $118. (a) To replicate this put, find the number of shares to be purchased or sold and the units of ZCB with face value of $1 to be purchased or sold. (b) Use the replicating-portfolio method to value this put. (c) In a risk-neutral world, what is the probability that stock X will rise in price? d) Use the risk-neutral method to check your valuation of the put