Solve all problems "by hand". Do not work jointly on this assignment or "share" your solutions with your classmates, i.e., this is not a group assignment. Carry all calculations to 4 decimal places. Solve all problems using calendar time, i.e., 365 days in a year

S=$67

Expiration date ( T ): 166 days

K = $67.50

r = .035

= .52

Both the put and call option have the same exercise price.

Suppose that we have determined that the firm is paying dividends at a continuous rate, , of 5.65%. Use Merton's model to calculate the price of the European call and put options.