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You are given: (0) The price of a stock is 95.00 (ii) The continuously compounded risk-free rate is 6% (iii) The stock pays quarterly dividends

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You are given: (0) The price of a stock is 95.00 (ii) The continuously compounded risk-free rate is 6% (iii) The stock pays quarterly dividends of 0.80 with the next dividend payable in 1 month You wish to create this stock synthetically, using 1-year European call and put options with strike price K, and lending 96.35. Determine the strike price of the options

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