You are long 1000 six months ATM Put options on a non-dividend-paying asset with spot price $100, following a lognormal process with volatility 30%. Assume the interest rates are constant at 5%. (a) Delta-hedge your option position. Explain what you have to do (including borrowing or lending money). (b) On the next trading day, the asset opens at $102. What is the value of your hedged position (the option and shares position)? (c) Had you not Delta-hedged, how much would you have lost