Consider a 1-year European put on TSLA with a strike price of $400. TSLA spot price is $320 and its volatility is 25%. TSLA is expected to pay no dividend. The risk-free rate is 5%.

(a) Use Black-Scholes-Merton (BSM) model to price this put option. (2 marks)

(b) What is the put delta? If the short position decides to delta-hedge, what would the net cash flow be? (2 marks)

(c) Without using BSM model, what are the 1-year 400-strike straddle price and its delta. (2 marks)