You are given the following information about a call option on a stock in the Black-Scholes framework:

The annual continuously-compounded interest rate is 0.03.

The annual price volatility is 0.03

The current stock price is $56

The options time to expiration is 2 years

The price of the prepaid forward on the strike asset is $42

d1 = 0.4

The stock will pay a dividend in the amount of d dollars one year from today.

Find the size of the dividend.[$13.7252]

known

C(St , K, , r, T t, ) = Ste (T t)N(d1) Ker(T t)N(d2) where

d1 = [ln (S_t/K) + (r + 0.5 ² )(T t)]/ [ T t] and

d2 = [ln (S_t/K) + (r 0.5 ² )(T t)]/ [ T t] = d1 T t.