Using the Black-Scholes-Merton option pricing method, determine the following given the conditions described:

• The strike price is $200.00
• The stock currently trading at $214.72
• The stock has a standard deviation of 43.05%pa.
• The time to expiry of the option is 355 days.
• The stock has announced that it shall pay a $6.45 dividend in 97 days time
• You estimate that it will pay a $6.65 dividend in 279 days time.
• The continuously compounded risk free rate is 3.7778%.

• 96days later, the stock is trading at $187.13, calculate

• To 4 decimal places the present value of the sum of the dividends to be paid (1 mark)
• The value of d1 to 4 decimalplaces (1 mark)
• The value of d2 to 4 decimalplaces (1 mark)
• N(d1) to 4 decimalplaces(1 mark)
• N(d2) to 4 decimalplaces(1 mark)
• The value of the European call option to 2 decimalplaces (1 mark)
• The value of the European put option to 2 decimalplaces (1 mark)