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Data: So -140; X-154; 1+1.1. The two possibilities for Sr are 170 and 122 a-1. The range of S is 48 while that of C
Data: So -140; X-154; 1+1.1. The two possibilities for Sr are 170 and 122 a-1. The range of S is 48 while that of C is 16 across the two states. What is the hedge ratio of the call? (Round your answer to 2 decimal places.) Hedge ratio a-2. Calculate the value of a call option on the stock with an exercise price of 154. (Do not use continuous compounding to calculate the present value of X in this example because we are using a two-state model here with discrete periods, not a continuous-time Black-Scholes model.) (Do not round intermediate calculations. Round your answer to 2 decimal places.) Call value
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