A stock currently trading at $115 pays a $4 dividend in three months and nine months. An option on the stock with an exercise price of $105 expires in ten months. Annualized yield for T-bill for this option is 11% and annualized standard deviation (volatility) of the continuously compounded return on the stock is 17% per annum.

(a) Compute adjusted stock price, S₀

(b) Compute d₁ and N(d₁)

(c) Compute N(d₂) assuming d₂ is -.2897. Use this N(d₂) in part (d) and (e).

(d) Compute the price of the European call.

(e) Compute the price of the European put