eff is an arbitrage trader, and he wants to calculate the implied dividend yield on a stock while looking at the over-the-counter price of a 5-year put and call (both European-style) on that same stock. He has the following data:
*Initial stock price = USD 85
*Strike price = USD 90
*Continuous risk-free rate = 5%
*Underlying stock volatility = unknown
*Call price = USD 10
*Put price = USD 15
What is the continuous implied dividend yield of that stock?
A
7.71%
B
5.34%
C
4.69%
D
2.48%
为什么实在85上折现,不用90