The current price of Stock ABC is $105, and Stock ABC pays dividends at continuous rate of 3% per year. A European put option and a European call option on Stock ABC have the same strike price of $100, and both options mature in 6 months: . The put option has a premium of $5.60. The call option has a premium of $12.11. A conversion is used to replicate a T-bill that matures for $1,000 in 6 months. Calculate the cost of replicating the T-bill. OA) 876.20 B) 902.01 C) 925.74 OD) 939.48 OE) 969.27 The current price of Stock ABC is $105, and Stock ABC pays dividends at continuous rate of 3% per year. A European put option and a European call option on Stock ABC have the same strike price of $100, and both options mature in 6 months: . The put option has a premium of $5.60. The call option has a premium of $12.11. A conversion is used to replicate a T-bill that matures for $1,000 in 6 months. Calculate the cost of replicating the T-bill. OA) 876.20 B) 902.01 C) 925.74 OD) 939.48 OE) 969.27