Data: S0 = 120; X = 126; 1+r = 1.05. The two possibilities for ST are 150 and 102. (Round to 2 decimal places).  The range of S is 48 while that of C is 24 across the two states. What is the hedge ratio of the call? Hedge ratio ? Calculate the value of a call option on the stock with an exercise price of 126. (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 5% interest rate is an effective rate per period.) Call value ?

Essentials Of Investments
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Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
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Data: S0 = 120; X = 126; 1+r = 1.05. The two possibilities for ST are 150 and 102. (Round to 2 decimal places). 

The range of S is 48 while that of C is 24 across the two states. What is the hedge ratio of the call?

Hedge ratio ?

Calculate the value of a call option on the stock with an exercise price of 126. (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 5% interest rate is an effective rate per period.)

Call value ?

 

 

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