(i) Use the BSM model to find the theoretical value of a European put option on a non-dividendpaying stock when the stock price is 50, the strike price is 50, the (continuously compounded) risk-free interest rate is 10% per annum, the volatility is 30% per annum, and the time to maturity is three months.

(ii) At what price of the stock would the buyer of the put option break even?

(iii) How would you value the put option in (i) if a dividend of 1.50 was expected in two months?