Consider a Binomial World in Which the Current Stock Price

Multiple Choice

Consider a binomial world in which the current stock price of 80 can either go up by 10 percent or down by 8 percent.The risk-free rate is 4 percent.Assume a one-period world.Answer questions 12 through 15 about a call with an exercise price of 80.
-What is the hedge ratio?

A) 0.429
B) 0.714
C) 0.571
D) 0.823
E) none of the above