a) Assume the Black-Scholes framework, let S(t) be the dividend-paying stock price at time t. You are given: - The stock's current price is S(0)=100. - The stochastic process is dS(t)=kS(t)dt+0.2S(t)dZ(t), where Z(t) is a standard Brownian motion under the true measure and k is a constant. - The risk-neutral measure is d[lnS(t)]=0.02dt+0.2dZ~(t), where Z~(t) is a standard Brownian motion under the risk-neutral measure. - The continuously compounded risk-free interest rate is 5%. (i) Find . (2 marks) (ii) Calculate the price of a 105-strike put option expiring in 2 years. (6 marks) (iii) By using the answer in part (b)(ii) and put-call parity, calculate the price of a 105 -strike put option expiring in 2 years