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In addition to the five factors discussed in the chapter, dividends also affect the price of an option. The Black-Scholes option pricing model with dividends is: C=S x e-dt N (d) E x e-Rt * N (d2) di = [In(S/E) + (R- d+ 02 / 2) x t] (o VE) d2 = d - 0 X VE All of the variables are the same as the Black-Scholes model without dividends except for the variable d, which is the continuously compounded dividend yield on the stock. A stock is currently priced at $85 per share, the standard deviation of its return is 42 percent per year, and the risk-free rate is 4 percent per year, compounded continuously. What is the price of a call option with a strike price of $81 and a maturity of six months if the stock has a dividend yield of 2 percent per year? (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.) Price of call option