ons Question 5 Assume the Black-Scholes framework. Mark Let St denote the price at time t of a stock. Consider a one-year European exotic option on the stock. If the stock price in one year is greater than 0.9So, the payoff is: Si - 1.150; Otherwise, the payoff is zero. You are given: The stock pays dividends continuously at a rate proportional to its price. The dividend yield is 2%. The volatility of the stock is 25%. The continuously compounded risk-free interest rate is 5%. The time-0 price of the option is 2.43. Calculate S. SO5C1960_Lectures pot TAKING YOU TO A NEW REALITY ons Question 5 Assume the Black-Scholes framework. Mark Let St denote the price at time t of a stock. Consider a one-year European exotic option on the stock. If the stock price in one year is greater than 0.9So, the payoff is: Si - 1.150; Otherwise, the payoff is zero. You are given: The stock pays dividends continuously at a rate proportional to its price. The dividend yield is 2%. The volatility of the stock is 25%. The continuously compounded risk-free interest rate is 5%. The time-0 price of the option is 2.43. Calculate S. SO5C1960_Lectures pot TAKING YOU TO A NEW REALITY