The current stock price is S(0) = 60 as mentioned.

You are given that. S(t)is the time-t stock price. S(t) satisfies the SDE: dS(t) = 0.25S(t) + 0.45S(t)dZ(t), S(0) = 60 The stocks pays dividend continuously at a rate proportional to its price. The dividend yield is 4%. The continuously compounded risk-free interest rate is 10%. Justin has just bought 100 unit of 9-month 60strike put option. To hedge the risk. Justin immediately hedges his position by purchasing the hedge portfolio. a. Calculate the components in Justin's hedge portfolio at t = 0. b. Suppose that the stock price after 1 month is 65, compute the profit and loss of i. owing 100 units of put: ii. Justin's position, assuming that Justin uses the stock dividend to purchase extra shares, and that Justin can borrow or lend at the risk-free interest rate