Question: In the previous problem, you calculated the delta for the following scenario: The current stock price of Alcoco is $72. The risk-free rate of return

In the previous problem, you calculated the delta for the following scenario: The current stock price of Alcoco is $72. The risk-free rate of return is 4.10%. The volatility of Alcoco's stock is 34%. You sell a European Call option on this stock on the CBOE with an exercise price of $75 and an expiration date 2 months from now. According to the Black-Scholes OPM, what is the price of this option when there's a dividend payment of $1.50 in 30 days time? [hint: use the dividend adjustment technique discussed in class]

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