Problem 8.9.8. (Price of a gap-like contingent claim) Assume the Black-Scholes framework. For t > 0, let S(t) denote the time-t price of a stock. Consider a 1-year European contingent claim. If the 1-year stock price is less than $60, the payoff of the contingent claim is S(1) - 40; otherwise, the payoff is zero. You are given: (i) S(0) = 50. (ii) The only dividend is 2 to be paid in eight months. (iii) Var[In F(S)] = 0.04t, for 0 0, let S(t) denote the time-t price of a stock. Consider a 1-year European contingent claim. If the 1-year stock price is less than $60, the payoff of the contingent claim is S(1) - 40; otherwise, the payoff is zero. You are given: (i) S(0) = 50. (ii) The only dividend is 2 to be paid in eight months. (iii) Var[In F(S)] = 0.04t, for 0