(c) Consider a European option Va(S,t) and let a discrete dividend be paid out on the under- lying S at time ta. The dividend yield is dy = 0.1. Information about the underlying price and the value of the option immediately after the dividend payment is given in Table 1. What is the option value immediately before the dividend payment if the underlying price immediately before the dividend payment is S = 40? Explain your answer. Table 1: The underlying price S and the value of option Va at time t immediately after the dividend payment. S(), pounds Va(S,t), pounds 1.05 1.21 35 37 36 38 39 40 41 42 1.32 1.44 1.58 1.75 1.92 2.17