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An investor was given the following probability distribution for the 1-year holding-period return for KMP stock, which currently trades at $100 per share. Whatever the state of the economy, KMP will pay a dividend of $4 per share over the year. A put on KMP stock has an exercise price of $110, a time to expiration of 1 year and a premium of $12. The investor is considering the value at the end of 1 year of two alternative strategies conducted today. 1. Buy 1,000 shares of KMP stock (Uninsured Portfolio). 2. Buy 1,000 shares of KMP stock and simultaneously buy 1 put on each share of KMP stock (Insured Portfolio). Consider the following statements. I. If the economy is in a normal state at the end of the year, the value of the uninsured portfolio would be $124,000. II. If the economy is in a recession state, at the end of the year, the value of the insured portfolio would be $114,000. Which of the following is correct? a. Statements I and II are correct. b. Statement I is incorrect, Statement II is correct. c. Statements I and II are incorrect. d. Statement I is correct, Statement II is incorrect. An investor was given the following probability distribution for the 1-year holding-period return for KMP stock, which currently trades at $100 per share. Whatever the state of the economy, KMP will pay a dividend of $4 per share over the year. A put on KMP stock has an exercise price of $110, a time to expiration of 1 year and a premium of $12. The investor is considering the value at the end of 1 year of two alternative strategies conducted today. 1. Buy 1,000 shares of KMP stock (Uninsured Portfolio). 2. Buy 1,000 shares of KMP stock and simultaneously buy 1 put on each share of KMP stock (Insured Portfolio). Consider the following statements. I. If the economy is in a normal state at the end of the year, the value of the uninsured portfolio would be $124,000. II. If the economy is in a recession state, at the end of the year, the value of the insured portfolio would be $114,000. Which of the following is correct? a. Statements I and II are correct. b. Statement I is incorrect, Statement II is correct. c. Statements I and II are incorrect. d. Statement I is correct, Statement II is incorrect