Valuing the portfolio ( with risk-Free Rate 1290) The riskless portfolio iS: LONG 0.25 shares SHORT 1 call option The value of the portfolio in 3 months is 22*0.25-1=4.50=18*0.25 The value of the portfolio today is 4.50e012025=4.3670 Options, Futures, and Other Derivatives, 4th edition@ 2000 by John C. Hull Tang Yincai, Shanghai Normal UniversityOptions, Futures, and Other Derivatives, 4th edition © 2000 by John C. Hull Tang Yincai, Shanghai Normal University 9.7 Valuing the Portfolio ( with Risk-Free Rate 12% ) • The riskless portfolio is: LONG 0.25 shares SHORT 1 call option • The value of the portfolio in 3 months is 22 * 0.25 - 1 = 4.50 = 18 * 0.25 • The value of the portfolio today is 4.50e-0.12*0.25=4.3670