**Question 832** option, Black-Scholes-Merton option pricing, no explanation

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** percentage points 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.