题目内容

The price of a 6-month, USD 25.00 strike price, European-style put option on a stock is USD 3.00. The stock price is USD 26.00. A special one-time dividend of USD 1.00 is expected in 3 months. The continuously compounded risk-free rate for all maturities is 5% per year. Which of the following is closest to the value of a European-style call option on the same underlying stock with a strike price of USD 25.00 and a time to maturity of 6 months?

A. USD 2.37
B. USD 3.01
C. USD 3.63
D. USD 4.62

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