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Check the changed financing input
The record keeps underlying and strike prices fixed but changes the risk-free period factor to 1. The grown current price is 100, still inside 80 to 130. The higher-state pricing weight is (100−80)/50=0.4.
Weight the same expiry amounts
The call still pays 30 and zero. Weighted expiry amount is 0.4×30=12. Dividing by factor one leaves current value 12. Zero discounting does not mean equal state weights.
Verify the alternative route
The hedge ratio remains 0.6 because payoff and state-price differences are unchanged. Terminal cash is −48, and at zero rate current cash is also −48. Current cost is 60−48=12.
| Object | Value |
|---|---|
| Higher pricing weight | 40% |
| Underlying holding | 0.6 |
| Current cash | −48 |
| Current claim value | 12 |
Identify what changed
Changing the period rate changes the underlying pricing condition and current funding amount. It does not alter the contract’s strike or its supplied terminal payoffs. Keep that causal distinction in the explanation.