An American call option with a strike price of $80 was issued in January with expiration on 31st June. The stock is expected to have a dividend of $2 at the beginning of April. The ex- dividend day is 31st March, when the stock price turns out to be $85. The risk-free rate is 10% p.a. with continuous compounding. What would happen to the option on 31st March? a. It is an American option, we can't determine whether it will be exercised or not Ob. The option will more likely be exercised C. Divided is not sufficient enough for the option to be exercised d. The option will not likely be exercised e. The option become worthless Your answer is incorrect. The correct answer is: The option will more likely be exercised