22.

An American call option on a stock has a time to maturity of 4 months and an exercise price of $60. The stock price is $60, and the stock volatility is 20%. A dividend of $0.75 per share is expected to be paid in 2 months, which may be considered as an ex-dividend date as well. The continuously compounded risk free rate of interest is 4% per annum. Which of the following statements is true? O a. It is optimal to exercise the option early before the ex-dividend date b. It is not optimal to exercise the option early before the ex-dividend date c. It is optimal to exercise the option early after the ex-dividend date