If the Stock Pays a Dividend at the Continuously Compounded $\delta$

question 5

Multiple Choice

If the stock pays a dividend at the continuously compounded rate of $\delta$ =0.01 per year,then the Black-Scholes-Merton model gives the price of a European put as:

• A) $5.75
• B) $5.99
• C) $8.66
• D) $10.34
• E) None of these answers are correct.

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Definitions:

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