Question: Given the data for ABC company, assuming the option is at-the-money, where the stock price is $45, the time to maturity is 60 days, the

  1. Given the data for ABC company, assuming the option is at-the-money, where the stock price is $45, the time to maturity is 60 days, the stock variance is 0.25 per year and the risk-free rate 5.5% per year.
    1. Calculate the call and put option price.
    1. What would be the new call price if the company pays a dividend yield of 6% per year? Is the change in call price consistent with the effect you would observe when dividends are paid? Explain Please show all the steps with formula!!

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