A stock is about to pay a dividend. You are given

(i) The stocks current price is 110.

(ii) The stock pays dividends of 2 quarterly.

(iii) The continuously compounded risk-free rate is 0.05.

Consider a European call option on the stock expiring in 4 months with a strike price 100. A European put option with the same conditions is worth 3.87. Determine the value of the European call option. [Hint: The forward price for a stock with dividends is given by F(t, T) = St(Present Value of Dividends) Dividends are paid at time 0 and in a 3 month].