14. A stock currently trading at $121 pays a $8 dividend in four months and $5 dividend seven months. A call option on the stock with an intrinsic value of $9 expires in ten months. Annualized yield...

14. A stock currently trading at $121 pays a $8 dividend in four months and $5 dividend seven months. A call option on the stock with an intrinsic value of $9 expires in ten months. Annualized yield for T-bill for this option is 6% and annualized variance of the continuously compounded return on the stock is 0.0225.

(a) Compute S0′

(b) Compute d1 and N(d1)