Question: Question 4 1 pts Assume the Black-Scholes framework. The current price of a stock is 165. The stock pays dividends continuously at a rate of

Question 4 1 pts Assume the Black-Scholes framework. The current price

Question 4 1 pts Assume the Black-Scholes framework. The current price of a stock is 165. The stock pays dividends continuously at a rate of 1.5% and has an expected annual return of 7.5%. The continuously- compounded risk-free rate of interest is 2.6%. An investor creates a portfolio by purchasing one hundred 3-month, 190-strike European puts on this stock and writing one hundred 3-month, 190- strike European calls on this stock. Determine the cost of this investor's portfolio. O 2165.53 O 2711.79 O 2575.22 0 2438.66 O 2302.09

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