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The spot price of an index is 1,000 and the annual continuously compounded risk-free rate is 4%. The prices of 6-month European call and put

The spot price of an index is 1,000 and the annual continuously compounded risk-free rate is 4%. The prices of 6-month European call and put options when the strike price is 950 are 85 and 35, respectively. What is the implied dividend yield of the index?

A. -5.95%

B. 1.90%

C. 3.80%

D. 4.00%

E. 25.30%

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