Next dividend payable at the end of the first month

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Reference no: EM131071402

A stock’s current price is 45. Dividends of 2 are payable quarterly, with the next dividend payable at the end of the first month. You are given:

(i) The continuously compounded risk-free interest rate is 6%.

(ii) A 3-month European put option with strike 50 costs 7.32.

Determine the premium of a 3-month European call option on the stock with strike 50.

Reference no: EM131071402

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