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2013-08-26
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On April 30, 2007, a common stock is priced at $52.00.
You are given the following:
(i) Dividends of equal amounts will be paid on June 30, 2007 and September 30, 2007.
(ii) A European call option on the stock with strike price of $50.00 expiring in six months
sells for $4.50.
(iii) A European put option on the stock with strike price of $50.00 expiring in six months
sells for $2.45.
(iv) The continuously compounded risk-free interest rate is 6%.
Calculate the amount of each dividend.

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