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24.11. [CAS8-S00:31] You are considering the purchase of a three-month European put option on a stock with an announced dividend payment of 1.50 in two

24.11. [CAS8-S00:31] You are considering the purchase of a three-month European put option on a stock with an announced dividend payment of 1.50 in two months. You are given the following information: (i) The strike price is 50 (ii) The continuously compounded risk-free annual interest rate is 10% compounded continuously. (iii) The annual volatility of a three-month prepaid forward on the stock is 0.3. (iv) The stock follows the Black-Scholes framework. (v) d2 = -0.1086. Determine the current stock price, 24.11. [CAS8-S00:31] You are considering the purchase of a three-month European put option on a stock with an announced dividend payment of 1.50 in two months. You are given the following information: (i) The strike price is 50 (ii) The continuously compounded risk-free annual interest rate is 10% compounded continuously. (iii) The annual volatility of a three-month prepaid forward on the stock is 0.3. (iv) The stock follows the Black-Scholes framework. (v) d2 = -0.1086. Determine the current stock price

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