6. A broker writes 500 European put options with expiry 90 days and strike price $1.8. The current price of the underlying stock is $1.82 and its volatility 14%. Assuming a risk-free rate of 5%, construct a A-neutral portfolio and compute its value after one day if the stock price drops to $1.81 (i.e. S1/365 = 1.81). (Hint: Use put-call parity (or Exercise 3.) to derive the fair price of an European put option P(t, S, E).] 6. A broker writes 500 European put options with expiry 90 days and strike price $1.8. The current price of the underlying stock is $1.82 and its volatility 14%. Assuming a risk-free rate of 5%, construct a A-neutral portfolio and compute its value after one day if the stock price drops to $1.81 (i.e. S1/365 = 1.81). (Hint: Use put-call parity (or Exercise 3.) to derive the fair price of an European put option P(t, S, E).]