What is the present value of the portfolio

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Reference no: EM131613720

S0 = 109; X = 118; 1 + r = 1.12. The two possibilities for ST are 151 and 85. a. The range of S is 66 while that of P is 33 across the two states. What is the hedge ratio of the put? (Round your answer to 2 decimal places. Negative amount should be indicated by a minus sign.)

Hedge ratio b-1. Form a portfolio of one shares of stock and two puts. What is the (nonrandom) payoff to this portfolio? (Omit the "$" sign in your response.) Nonrandom payoff $ b-2.

What is the present value of the portfolio? (Round your answer to 2 decimal places. Omit the "$" sign in your response.) Present value $ c.

Given that the stock currently is selling at $109, calculate the put value. (Round your answer to 2 decimal places. Omit the "$" sign in your response.)

Reference no: EM131613720

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