Consider a stock with a current price of $100 that will be worth either $130 or $70 1 year from now. Assume rf = 1%.

a) (10 points) What are the hedge ratios (H) of 1-year, at-the-money European call and put options?

b) (10 points) How much do you have to borrow to finance replicating portfolios for the call and put options, respectively?

c) (10 points) What are the values of the call and put options?