Question
Data: S 0 = 108; X = 120; 1 + r = 1.1. The two possibilities for S T are 130 and 90. a. The
| Data: S0 = 108; X = 120; 1 + r = 1.1. The two possibilities for ST are 130 and 90. |
| a. | The range of S is 40 while that of P is 30 across the two states. What is the hedge ratio of the put?(Round your answer to 2 decimal places. Negative amount should be indicated by a minus sign.) |
| Hedge ratio |
| b-1. | Form a portfolio of three shares of stock and four puts. What is the (nonrandom) payoff to this portfolio? (Omit the "$" sign in your response.) |
| Nonrandom payoff | $ | |
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Entrepreneurial Finance
Authors: Steven Rogers
4th Edition
1260461440, 978-1260461442
