Find the pseudo-american option value

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XYZ Corp. will pay a $2 per share dividend in 2 months. Its stock price currently is $78 per share. A call option on XYZ has an exercise price of $72 and 3-month time to expiration.

The risk-free interest rate is 0.8% per month, and the stock's volatility (standard deviation) = 17% per month. Find the pseudo-American option value.

(Hint: Try defining one "period" as a month, rather than as a year.)

(Round your answer to 2 decimal places. Omit the "tiny_mce_markerquot; sign in your response.) Im getting 6.04 but its wrong.

Reference no: EM132060844

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