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Problem 21-9 Data: So - 109; X = 115; 1+r-1.08. The two possibilities for Sy are 135 and 85. a. The range of Sis 50
Problem 21-9 Data: So - 109; X = 115; 1+r-1.08. The two possibilities for Sy are 135 and 85. a. The range of Sis 50 while that of Pis 30 across the two states. What is the hedge ratio of the put? (Round your answer to 2 decimal places. Negative value should be indicated by a minus sign.) Hedge ratio b. Form a portfolio of three shares of stock and five puts. What is the (nonrandom) payoff to this portfolio? Nonrandom payoff c. What is the present value of the portfolio? (Round your answer to 2 decimal places.) Present value d. Given that the stock currently is selling at 109, calculate the put value. (Do not round Intermediate calculations. Round your answer to 2 decimal places.) Prev 1 of 2 !!! Next > Hodge ratio b. Form a portfolio of three shares of stock and five puts. What is the (nonrandom) payoff to this portfolio? Nonrandom payoff c. What is the present value of the portfolio? (Round your answer to 2 decimal places.) Present value d. Given that the stock currently is selling at 109, calculate the put value. (Do not round Intermediate calculations. Round your answer to 2 decimal places.) Put value
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