assume an effective monthly interest rate of 1% unless otherwise indicated in the problem.

9. (# 12.9a, p. 407, slightly modified) Assume So = 50, K = 40, o = 0.3, r = 0.08 per year, T = 0.5 year, and the stock is to pay a single dividend of $2 at T = 0.25 year and no other dividends before expiry. Find the price of a European call option. (20 points)