5. A call option matures in six months. The underlying stock price is $78 and the stock's return has a standard deviation of 29 percent per year. The risk-free rate is 4 percent per year, compounded continuously. If the exercise price is $0, what is the price of the call option? (Do not round intermediate calculations and round your answer to the nearest whole number, e.g., 32.)

Call Option Price ____?

6. The Black-Scholes option pricing model with dividends is:

C=SedtN(d1)EeRtN(d2)C=SedtN(d1)EeRtN(d2)

d1=[ln(S/E)+(Rd+2/2)t](t)d1=[ln(S/E)+(Rd+2/2)t](t)

d2=d1td2=d1t

All of the variables are the same as the Black-Scholes model without dividends except for the variable d, which is the continuously compounded dividend yield on the stock.

The put-call parity condition is altered when dividends are paid. The dividend-adjusted put-call parity formula is:

Sedt+P=EeRt+CSedt+P=EeRt+C

where d is the continuously compounded dividend yield.

A stock is currently priced at $86 per share, the standard deviation of its return is 40 percent per year, and the risk-free rate is 5 percent per year, compounded continuously. What is the price of a put option with a strike price of $82 and a maturity of six months if the stock has a dividend yield of 3 percent per year? (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.)

Price of the put option ____?