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Use the Two-State Put-Option Value in This Problem

Question 57

Multiple Choice

Use the two-state put-option value in this problem.SO = $100; X = $120; the two possibilities for ST are $150 and $80.The range of P across the two states is _____, and the hedge ratio is _______.


A) $0 and $40; -4/7
B) $0 and $50; +4/7
C) $0 and $40; +4/7
D) $0 and $50; -4/7

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