USe the Following Data for a Single-Period Binomial Model to Answer

question 4

Multiple Choice

USe the following data for a single-period binomial model to answer the questions that follow.
YBM's stock price S is $102 today.
- After six months,the stock price can either go up to $115.63212672,or go down to $93.52995844.
- Options mature after T = 6 months and have an exercise price of K =$105.
- The continuously compounded risk-free interest rate r is 5 percent per year.
-Given the above data,the hedge ratio and the put option's value are given by:

• A) -0.2523 for the hedge ratio and $2.35 for the put option's value
• B) 0.2523 for the hedge ratio and $4.81 for the put option's value
• C) 0.5190 for the hedge ratio and $5.59 for the put option's value
• D) -0.5190 for the hedge ratio and $5.59 for the put option's value
• E) None of these answers are correct.

---

Definitions:

Character Style

A set of formatting options applied to text characters, such as font type, size, and color, in word processing and desktop publishing software.

Footer

A section located at the bottom of a page in a document or website, typically containing copyright information, contact details, or relevant links.

Different Odd & Even Pages

A document setup option allowing for distinct header, footer, or page formatting between odd and even numbered pages.

Page Number

A numeric or alphanumeric identifier that is automatically or manually added to documents or pages for organization, reference, and navigation.