Use the information below to answer the following three questions

The current stock price of GNK Inc is $130. A put option on the company stock has a strike price of $127 with 12-month expiry. The share price will either increase or decrease by 15 in one years time. The current effective annual risk-free rate of 5% is expected to stay the same for the next year. The company is not expected to pay any dividend in the near future. Use the replicating portfolio method to estimate the put price.

What is delta, the number of shares to be held in the replicating portfolio?

a)-0.5

b)0.40

c)0.5

d)-0.40

e)-0.82

What is B, the initial investment in bond in the replication portfolio?

a)-$29.34

b)$55.24

c)$49.47

d)$29.34

e)-$55.24

Assume that delta is equal to -0.35 and B is equal to 59. What is the value of the put option today?

a)$9.47

b)$13.50

c)$9.75

d)$9.81

e)$16.83

1 month after you purchased the put option, the share price becomes 135. Which of the following statements is correct?

a)The put option is at the money.

b)The put option is out of money.

c)The put option value is not affected by the price movement.

d)The payoffs of the put option will be calculated differently at maturity.

e)The put option is in the money.