The current price of a non-dividend paying stock is $60. In six months the stock price will either increase to $66 or decrease to $54. The risk-free rate with continuous compounding is 12% per annum. Consider a European put option on this stock with a strike price of $58 that expires in six months.

A) Compute the payoff of the option at expiration if the stock price goes up and the payoff if the stock price goes down.

Payoff in the up state is:$

Payoff in the down state is:$

B) What is the delta hedge ratio of the option (round to the nearest hundredth and indicate positive or negative)?

Delta is: ;

Enter "positive" or "negative":

C) What is p, the risk-neutral probability of an up move (answer in % and round to the nearest integer)?

Risk-neutral probability of an up move is: %

D) What is the value of the put option today (round to the nearest hundredth)?

Value of the put option today is:$