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We will derive a two-state call option value in this problem. Data: 80 * 130; X = 140;1+r-11. The two possibilities for Sy are 170 and 95. a. The range of Sis 75 while that of Cls 30 across the two states. What is the hedge ratio of the call? (Round your answer to 2 decimal places.) Hedge ratio 34.54 b. Calculate the value of a call option on the stock with an exercise price of 140. (Do not use continuous compounding to calculate the present value of Xin this example, because the interest rate is quoted as an effective per period rate:) (Do not round Intermediate calculations. Round your answer to 2 decimal places) Call value The multiplier for a futures contract on a certain stock market index is $50. The maturity of the contract is one year the current level of the index is 2,000, and the risk-free interest rate is 0.5% per month. The dividend yield on the index is 0.2% per month. Suppose that after one month, the stock Index is at 2.220. a. Find the cash flow from the mark-to-market proceeds on the contract. Assume that the party condition always holds exactly. (Do not round intermediate calculations. Round your answer to 2 decimal places.) Cash flow b. Find the holding period return if the initial margin on the contract is $5,000. (Do not round Intermediate calculations. Round your answer to 2 decimal places.) Holding period return