Assume the Black-Scholes framework.

You are given the following information for a stock that pays dividends continuously at a rate proportional to its price.

(i) The current stock price is 0.25.

(ii) The stock’s volatility is 0.35.

(iii) The continuously compounded expected rate of stock-price appreciation is 15%.

Calculate the upper limit of the 90% lognormal prediction interval for the price of the stock in 6 months.

(A) 0.393

(B) 0.425

(C) 0.451

(D) 0.486

(E) 0.529