Past exam of the martingales and financial mathematics course of the University of Oxford / 2008 / B / 7 / d / Solution

Linearity separates the terminal call payoff from the running payment stream. The first contributes the supplied European call price. Under the risk-neutral measure, $\mathbb{E}(S_v\mid S_t=s)=s{e}^{r(v-t)}$, so the stream contributesConsequentlyThis is the claim dividends proportional to the underlying stock identity. The underlying itself is still non-dividend-paying; the cash flow belongs to the derivative.