Assume the Black-Scholes framework. Consider a derivative security of a stock.

You are given:

(i) The continuously compounded risk-free interest rate is 0.04.

(ii) The volatility of the stock is σ.

(iii) The stock does not pay dividends.

(iv) The derivative security also does not pay dividends.

(v) S(t) denotes the time-t price of the stock.

(vi) The time-t price of the derivative security is [S(t)]^−k/σ2, where k is a positive constant.

Find k.

(A) 0.04

(B) 0.05

(C) 0.06

(D) 0.07

(E) 0.08