YBMs stock price S is $102 today. After six months, the stock price can...
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YBMs 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 call options value are given by:
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0.5810 for the hedge ratio and $6.2543 for the call options value
0.3810 for the hedge ratio and $5.5557 for the call options value
0.4810 for the hedge ratio and $5.1853 for the call options value
0.2523 for the hedge ratio and $4.1853 for the call options value
please provide explanation
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