ou want to calculate the dividend yield of a stock market index. You observe the following information about European options written on the stock index: S₀ = 1200, risk-free rate of interest = 5% per annum compounded continuously, market price of the call option = $88.00 and market price of the put option = $53.30. Both call and put are at-the-money options, and both expire in one year.

Required: Calculate the annual continuous compounded implied dividend yield of the stock index. Write your answer in 1 decimal in percentage form (e.g., 1.2% and not 0.012). Show your working so that partial marks can be allocated for incorrect answer.