Question: Note: For all problems where a risk-free rate or a dividend yield is given, assume that the interest rate and the dividend yield are annual

Note: For all problems where a risk-free rate or a dividend yield is given, assume that the interest rate and the dividend yield are annual and continuously compounded rates.

A stock index is currently 3100, the dividend yield on the index is 1.5% per year, and the risk-free interest rate is 4% per year.

What is a lower bound for the price of a nine-month European call option on the index when the strike price of the option is 2900?

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