4) For a lognormal underlying with continuous dividend yield d, the risk-neutral process is dy = (r - d)ydt + oydw. The value of a perpetual American call with strike K is thus a yield d, the risk-neutral process is u(x) = max Ey(0=x [e="(y(T) K)+] where r is the risk-free rate. (b) Find the value of this option, and the optimal exercise rule, for d > 0. (c) Show that as d 0 the value approaches u(x) = x. 4) For a lognormal underlying with continuous dividend yield d, the risk-neutral process is dy = (r - d)ydt + oydw. The value of a perpetual American call with strike K is thus a yield d, the risk-neutral process is u(x) = max Ey(0=x [e="(y(T) K)+] where r is the risk-free rate. (b) Find the value of this option, and the optimal exercise rule, for d > 0. (c) Show that as d 0 the value approaches u(x) = x