(c) An investor wants to exactly replicate the call option's payoff so he considers to buy X shares of the stock and Y shares of bonds. Suppose the stock price is $40 and the bond price with coupon rate 300 is $100. The stock price will either go up 15% or down 10% in one There are one European call option and one European put option with exercise price of $40 will be expired in one year. Short selling is allowed. year (G) Determine the risk-neutral probability in the "down" state. (ii) Determine the values of X and Y (ii Describe the investment strategy in the combination of stock and bond. 2 marks] (iv)Calculate the prices of European call and put options 2 marks] [4 marks] [2 marks]