9. ¡0.00 points We wil denive a two-state call option value in this problem Data

Question

9. ¡0.00 points We wil denive a two-state call option value in this problem Data: S 300X-3101 1.1. The two possibilities for S, are 350 and 150 a. The range of S is 200 while that of C is 40 across Hedge ratio b. Calculate the value of a call option on the stock with an exercise price of 310 (Do not use continuous compounding to the two stales. What is the hodge ratio of he cal? (Round your answer to 2 decimal places.) Call value References eBook& Resources Learning Objective: 16-02 Compute an option value in two-scenario and binomial models of the economy Worksheet

Explanation / Answer

Ans 10) Intrinsic value = Stock price - strike Price

= 106 - 84

= $22

Time Value = call price - intrinsic value

= 24.6 - 22 = $2.6

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