[ 2009 FRM Sample Exam ] Market risk measurement and management Q5

5. Jim is an arbitrage trader who wants to calculate the implied dividend yield on a stock using the over?the?counter prices of a 5?year European put and a European call on the 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 the stock?

A. 2.48%

B. 4.69%

C. 5.34%

D. 7.71%