Question: Assume the Black-Scholes framework. You are given: (i) The current stock price is 95. (ii) The stocks volatility is 10%. (iii) The stock pays dividends

Assume the Black-Scholes framework. You are given:

(i) The current stock price is 95.

(ii) The stock’s volatility is 10%.

(iii) The stock pays dividends continuously at a rate proportional to its price. The dividend yield is 10%.

(iv) The continuously compounded risk-free interest rate is 5%.

Calculate the price of a 6-month 100-strike European gap call option with a payment trigger of 110.

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