Suppose that a 6-month European call option, with a strike price of K = $85, has a premium of $2.75. The underlying asset pays a continuous dividend with rate 10% per annum. The futures price for a...

Extracted text: Suppose that a 6-month European call option, with a strike price of K = $85, has a premium of $2.75. The underlying asset pays a continuous dividend with rate 10% per annum. The futures price for a 6-month contract is worth $75 and the risk-free rate r = 5% per annum %3D compounded continuously. Find the price of a 6-month European put option written on the same underlying asset and with the same strike price.