Security S and Z can move to three different states at each node. At end-year 2

Security S and Z can move to three different states at each node. At end-year 2 each security will be in only one of nine different states as described by the following table. The risk-free yield is 6 percent. A portfolio composed of a put option on the security S with a strike K = $110 and a call option on security Z with a strike K = $102 and maturing at end-year 2 has been put in place.SecurityTime 0Year 1Year 2SecurityTime 0Year 1Year 2$160.00$150.00$128.00$125.00$125.00$128.00$91.20$92.00$123.00Z$100.00$106.00$120.00S$97.60$110.00$118.00$112.00$107.50$103.90$98.00$110.00$75.00$79.00$92.00$95.00$55.30$83.40