The Current Price of a Stock Is $50

Multiple Choice

The current price of a stock is $50. Every month, the stock price will rise by a factor of 1.2 or fall by a factor of 0.8; and a $1 risk-free investment will be worth $1.03. Dividends are paid as a proportion of the stock price. Which of the following $51-strike, six-month options has the highest value?

A) An American put when the stock pays no dividends.
B) A European put when the stock pays dividends at proportion 0.01 of the stock price.
C) An American call when the stock pays no dividends.
D) A European call when the stock pays dividends at proportion 0.01 of the stock price.