= Solution
{c}
Linearity separates the terminal call payoff from the running payment stream. The first contributes the supplied European call price. Under the <risk-neutral measure>, $\mathbb E(S_v\mid S_t=s)=se^{r(v-t)}$, so the stream contributes
$$
\mathbb E^{\mathbb Q}\int_t^Te^{-r(v-t)}qS_v\,dv
=qs\int_t^Tdv=qs(T-t).
$$
Consequently
$$
\boxed{V(t,s)=s\Phi(d_1)-Ke^{-r(T-t)}\Phi(d_2)+qs(T-t).}
$$
This 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.
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