Assume the Black-Scholes framework.

One month ago, Tidy bought 1,000 units of a 9-month 60-strike European put option on a stock. He immediately delta-hedged the commitment with shares of the stock, but has not ever re-balanced his portfolio. He now decides to close out all positions.

You are given:

(i) The stock pays dividends continuously at a rate proportional to its price. The dividend yield is 4%.

(ii) The stock’s volatility is 45%.

(iii) The continuously compounded risk-free interest rate is 10%.

(iv) The stock price one month ago was $60.

(v) The current stock price is $65.

Calculate Tidy’s profit.