We will derive a two-state CALL option C value in this problem. Data: S₀ = 270; X = 300; r = 5%. The two possibilities for S_T are 360 and 160. a. Find that the range of S is _______ . Find that the range of C is _____ across the two states. What is the hedge ratio Delta of the CALL? b. Form a portfolio of -Delta shares of stock and 1 (one) CALL. What is the (nonrandom) payoff to this portfolio? c. What is the present value of the portfolio? d. Given the stock current selling price, calculate the CALL value.