Consider a put option on a stock trading at $40, with a strike price of $35, a risk-free interest rate (continuously compounded) of 5% per annum, a volatility of 25% per annum and a term to expiration of 4 months. Assume that the stock is due to go ex-dividend in 2 months and the expected dividend is $1. (a) Calculate d1 and d2. (b) Compute N(-d1) and N(-d2). What is the Black-Scholes price assuming it is a European call? (c) What is the call delta? Explain by how much the put value is affected when the stock price increases by $1. (d) What are the Black-Scholes price and delta of a European put otherwise identical to the call option? (25 points)