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 $74 per share. A call option on XYZ has an exercise price of $66 and 3-month time to expiration.

The risk-free interest rate is 0.4% per month, and the stock's volatility (standard deviation) = 13% per month. Find the pseudo-American option value.

Reference no: EM132062565

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