On April 30, 2007, a common stock is priced at $52.00. You are given the following: (i)

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On April 30, 2007, a common stock is priced at $52.00. You are given the following:

(i) Dividends of equal amounts will be paid on June 30, 2007 and September 30, 2007.

(ii) A European call option on the stock with strike price of $50.00 expiring in six months sells for $4.50.

(iii) A European put option on the stock with strike price of $50.00 expiring in six months sells for $2.45.

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

Calculate the amount of each dividend.

(A) $0.51

(B) $0.73

(D) $1.23

(E) $1.45

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Derivative Pricing

ISBN: 9780367734213

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Authors: Ambrose Lo

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Question Posted: Nov 24, 2023 10:30 PM

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On April 30, 2007, a common stock is priced at $52.00. You are given the following: (i)

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B Let D be the amount of eac...View the full answer

Derivative Pricing

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