1.

XYZ Corp. will pay a $2 per share dividend in two months. Its stock price currently is $60 per share. A European call option on XYZ has an exercise price of $55 and 3 -month time to expiration. The risk-free interest rate is 0.5% per month, and the stock's volatility (standard deviation) =7% per month. Find the Black-Scholes value of the American call option. (Hint. Try defining one "period" as a month, rather than as a year, and think about the net-of-dividend value of each share.) (Round your answer to 2 decimal places.)