A stock has a current price of $106. An option on this stock that expires in seven months has an exercise price of $105. The stock will pay a dividend of $4.50 in four months. Assume an annualized volatility of 25% and a continuously compounded risk-free rate of 6% per annum. Use the Black-Sholes-Merton model to price this option. (In all your calculations, round the numbers to 4 decimal places.) 1) Suppose this option is an American call. Use Blacks approximation to calculate the value of this call. $ Answer