(a) Assume C=$2.10, S = $22.00, K= $20, r = 0.05 p.a. continuously compounded, the stock pays a 1.0% continuous dividend and the option expires in a month. What is the implied volatility?

Select one:

a. 0.18

b. 0.22

c. 0.26

d. 0.30

(b) What is the price of the call option of Sun Hung Kai Properties Ltd based on Black-Scholes formula? Recall S=134.7. = 0.136. h=29/365. K = 135. r = 0.0021 p.a. continuously compounded. = 0. (Leave your answer in 2 d.p.)