Consider that the Black-Scholes model is valid for asset S, and assume it has a 36% volatility per annum. The risk-free rate is 2% and the actual value of the asset is $71.

(a) We buy 100 3-month maturity European calls and 50 2-month maturity European puts on the underlying asset. If both options have a strike price of $70, how much money do we need to borrow to get this portfolio?

(b) One month later, the value of S has grown up to $74.27, while the volatility raised to 47%. Compute the P&L according to this new information.