Question 2

a) A stock price is currently 30. It is known that at the end of two months it will be either 33 or 27. The risk-free interest rate is 10% per annum with continuous compounding. What is the value of a two-month European put option with a strike price of 31? (4 marks)

b) What is meant by the delta of a stock option? (3 marks)

If possible, please provide a detailed step by step as I would like to fully understand and not just copy answers. Thank you :)