You are faced with the probability distribution of the HPR on the stock market index fund given inthe table below. Suppose the price of a put option on a share of the index fund with exercise price of $110 and time to expiration of 1 year is $12, and suppose the risk-free interest rate is 6% per year. You are contemplating investing $107.55 in a 1-year CD and simultaneously buying a call option on the stock market index fund with an exercise price of $110 and expiration of 1 year.

A B C D E F G H I 2 3 Purchase Price = $100 T-Bill Rate = 0.04 4 5 Squared Squared 6 State of the Year-End Cash Deviations Deviations Excess Deviations 7 Economy Probability Price Dividends HPR from Mean from Mean Returns from Mean 8 Boom 0.25 126.50 4.50 0.3100 0.2124 0.0451 0.2700 0.0451 9 Normal growth 0.45 1 10.00 4.00 0.1400 0.0424 0.0018 0. 1000 0.0018 10 Mild recession 0.25 89.75 3.50 -0.0675 -0.1651 0.0273 -0. 1075 0.0273 11 Severe recession 0.05 46.00 2.00 -0.5200 -0.6176 0.3815 -0.5600 0.3815 12 Expected Value (mean) SUMPRODUCT (B8:B11, E8:E11) = 0.0976 13 Variance of HPR SUMPRODUCT(B8:B11, G8:G11) = 0.0380 14 Standard Deviation of HPR SQRT(G13) = 0.1949 15 Risk Premium SUMPRODUCT(B8:B11, H8:H11) = 0.0576 16 Standard Deviation of Excess Return SQRT(SUMPRODUCT(B8:B11, 18:111) = 0.1949 Spreadsheet 5.1 Scenario analysis of holding-period return of the mutual fund What is the probability distribution of your dollar return at the end of the year? (i.e. fill out the table below) (Round your answers to 2 decimal places.) State of Ending Ending the Value of Value of Combined Economy Probability CD Cal Value Excellent 0.25 Good 0.45 Poor 0.25 Crash 0.05