Calculate the option price

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Reference no: EM131324560

Consider an American call option on a stock. The stock price is $70, the time to maturity is eight months, the risk-free rate of interest is 10% per annum, the exercise price is $65, and the volatility is 32%. A dividend of $1 is expected after three months and again after six months. Use Black’s approximation, calculate the option price.

Reference no: EM131324560

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