5. Kestrel Company stock is currently selling for $40 per share. Its historical standard deviation of returns is 0.5. The one-year Treasury bill rate is currently 5%. Assume that all of the standard Black-Scholes option pricing model assumptions hold.

a. What is the value of a put on this stock if it has an exercise price of $35 and expires in one year?

b. What is the implied probability that the value of the stock will be less than $30 in one year?