A stock is trading today at $80 a share. Next year, it will trade at either $100 or $64. A European call option is trading on this stock with the strike price of $90 and one year to expiration. The risk-free rate of interest is 5% per year.

Suppose you purchase 2777.78 shares of stock and write 100 call contracts. Show that the value of this portfolio in one year will be the same regardless of the stock price. You may use the last two columns of the following table:

	Today	In one year
		St = 100	St = 64
Value of 2777.78 shares
Value of 100 call contracts
Total value