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The price of a European call that expires in six months and has a strike price of $82.50 is $5.5. The underlying stock price is
The price of a European call that expires in six months and has a strike price of $82.50 is $5.5. The underlying stock price is $79.75, and a dividend of $1.375 is expected in two months and again in five months. The interest rates are 10% per annum for all maturities. What is the price of a European put option that expires in six months and has a strike price of $82.50? (Please calculate the answer accurate to the fourth decimal place.)
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