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We will derive a two - state put option value in this problem. We have the following information: 1 0 0 ; x = 1

We will derive a two-state put option value in this problem. We have the following information:
100;x=110;1+
1.10. The two possibilities for
ST
=1.10. The two possibilities for
are 120 and 80.
Construct a portfolio of three shares of stock and four puts. What is the (nonrandom) pay-off to this portfolio? What is the present value of the portfolio?
Pay-off =350 and PV=318.18
Pay-off =350 and PV=327.27
Pay-off =360 and PV =318.18
Pav-off =360 and PV=327.27
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