Use the Two-State Put Option Value in This Problem

Multiple Choice

Use the two-state put option value in this problem.S_O = $100; X = $120; the two possibilities for S_T are $150 and $80.The range of P across the two states is _____ 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
E) $20 and $40; +1/2