44.6:Let S(t) denote the price at time t of a stock that pays dividends continuously at a rate proportional to its price. Consider a European gap option with expiration date T, T > 0. If the stock price at time T is greater than $100, the payoff is S(T) 90; otherwise, the payoff is zero. You are given: (i) S(0) = $80 (ii) The price of a European call option with expiration date T and strike price $100 is $4. (iii) The delta of the call option in (ii) is 0.2. Calculate the price of the gap option.[answer: $5.20 ]