A stock has a current price of $116. An option on this stock that expires in six months has an exercise price of $115. The stock will pay a dividend of $5 in three months. Assume an annualized...

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Extracted text: A stock has a current price of $116. An option on this stock that expires in six months has an exercise price of $115. The stock will pay a dividend of $5 in three months. Assume an annualized volatility of 30% and a continuously compounded risk-free rate of 5% per annum. Use the Black-Sholes-Merton model to price this option. (In all your calculations, round the numbers to 4 decimal places.) 1) Suppose the option is a European put. Calculate the value of the put. $ 2) Suppose this option is an American call. Use Black's approximation to calculate the value of this call.