Calculate the value of the call option

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We will derive a call option value using the binomial option pricing model in this problem. Data: S0 = 290; X = 300; 1 + r = 1.1. The two possibilities for ST are 330 and 180. a. The range of S is 150 while that of P is 30 across the two states. What is the hedge ratio of the call? (Round your answer to 2 decimal places.) Hedge ratio b. Calculate the value of the call option (Do not round intermediate calculations. Round your answer to 2 decimal places. ) Call value $

Reference no: EM131085532

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