The current price of a non-dividend-paying stock is $100 and you expect the stock price to be either $180 or $40 after 0.5 years. A European call option on the stock has a strike price of $121 and expires in 0.5 years. The risk-free rate is 8% (EAR).

Part 1. What is the hedge ratio (delta)?

Part 2. How much money do you need to borrow to create a portfolio that replicates the payoff from one call option?

Part 3. What should be the price (premium) of the call option?