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Consider a call option on a stock, the stock price is $23, the strike price is $20, the continuously risk-free interest rate is 9% per

Consider a call option on a stock, the stock price is $23, the strike price is $20, the continuously risk-free interest rate is 9% per annum, the volatility is 39% per annum and the time to maturity is 0.5.

(i) What is the price of the option? (6 points).

(ii) What is the price of the option if it is a put? (6 points)

(iii) What is the price of the call option if a dividend of $2 is expected in 60 days? (8 points)

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