Question Set 4 A stock has a current price of $147. An option on this stock that expires in six months has an exercise price of $145. The stock will pay a dividend of $4 in three months. Assume an annualized volatility of 30% and a continuously compounded risk-free rate of 5% per annum. Use the Black-Sholes-Merton model to price this option. (In all your calculations, round the numbers to 4 decimal places.) 1) Suppose the option is a European put. Calculate the value of the put. $ 2) Suppose this option is an American call. Use Black's approximation to calculate the value of this call. $