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Jeff is an arbitrage trader, who wants to calculate the value of dividend to be paid in 9 months time on stock while looking at
Jeff is an arbitrage trader, who wants to calculate the value of dividend to be paid in 9 months time on stock while looking at an over-the-counter price of a one-year European put and call on the stock. He has the following data: S = $40, X = $45, r = 5%, call price = $10, put price = $15. He also knows that the interest rate is constant for the entire duration of the life of the option. What is the dividend that will be paid by the stock?
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