The answer is E, but I would like to see the math behind it.

a. 7. Consider a binomial world in which the current stock price of 80 can either go up by 10 percent or down by 8 percent. The risk-free rate is 4 percent. Assume a one-period world. What is the hedge ratio for a 70 call? 0.429 b. 0.714 0.571 d. 0.823 *e. 1.000