# Fight Finance

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A 12 month European-style call option with a strike price of $11 is written on a dividend paying stock currently trading at$10. The dividend is paid annually and the next dividend is expected to be \$0.40, paid in 9 months. The risk-free interest rate is 5% pa continuously compounded and the standard deviation of the stock’s continuously compounded returns is 30% pa. The stock's continuously compounded returns are normally distributed. Using the Black-Scholes-Merton option valuation model, determine which of the following statements is NOT correct.