Derivagem software to value the option

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Reference no: EM132063440

Consider an American call option when the stock price is $18, the exercise price is $20, the time to maturity is six months, the volatility is 30% per annum, and the risk-free interest rate is 10% per annum. Two equal of dividends of 40 cents are expected during the life of the option, with ex-dividend dates at the end of two months and five months. Use Black's approximation and DerivaGem software to value the option. Suppose now that the dividend is D on each ex-dividend date.

Reference no: EM132063440

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