A stock's current price is $100. Its return has a volatility of s - 20 percent per year, European call and put options trading on the stock have a strike price of K - $105 and mature after T -0.25 years. The continuously compounded risk-free interest rater is 2 percent per year. If the stock pays a dividend at the continuously compounded rate of d -0.01 per year, then the Black-Scholes- Merton model gives the price of a European call as $2.38 None of these answers is correct $3.07 $3.78 5214