Consider a two-step (i.e. two six-month period) price tree for a share of stock in SGD Corp.

36.30

33.00

30 29.70

27.00

24.30

Using the binomial model, calculate the current fair value of a regular call option on SGD stock with a strike price X = 28, and risk-free rate R_F = 5%.You should also indicate the composition of the implied riskless hedge portfolio at the valuation date.