22.

A stock currently trades at $100. It is expected that dividends of $2.00/share will be paid to owners of the stock at 1 month and at 4 months from the current date. Consider these dates as ex-dividend dates as well. The continuously compounded risk free rate is 5%. European call and put options on the stock with exercise prices of $96 and 6 months to the expiration date are currently trading. Use this information to answer this and the next three questions. The lower bound for the value of the European call is closest to a. $2.4116 b. $6.3702 c. $4.3910