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Business, 08.04.2021 17:20 rachelreed

Data: S0 = 130; X = 143; 1 + r = 1.1. The two possibilities for ST are 160 and 109. a-1. The range of S is 51 while that of C is 17 across the two states. What is the hedge ratio of the call? (Round your answer to 2 decimal places.) a-2. Calculate the value of a call option on the stock with an exercise price of 143. (Do not use continuous compounding to calculate the present value of X in this example because we are using a two-state model here; the assumed 10% interest rate is an effective rate per period.) (Do not round intermediate calculations. Round your answer to 2 decimal places.)

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Data: S0 = 130; X = 143; 1 + r = 1.1. The two possibilities for ST are 160 and 109. a-1. The range o...
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