The current price of a non-dividend paying stock is $30. Over the next six month it is expected to rise to $36 or fall to $26. Assume the risk-free rate is zero. Consider a six-month call option with an exercise price of $32.

1. What is the end value of the option if the stock rises to $36?

2. What is the end value of the option if the stock declines to $26?

3. If you are short one option at time 0, how many shares do you need to own to make the combined portfolio riskless?

4. What is the value (not the intrinsic value) of the option at time zero?