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Consider an American call option on a stock. The stock price is $88, the time to maturity is eight months, the risk-free rate of interest
Consider an American call option on a stock. The stock price is $88, the time to maturity is eight months, the risk-free rate of interest is 10% per annum, the exercise price is $86, and the volatility is 32%. A dividend of $1.5 is expected after six months. According to Blacks approximation, what should be the value of the American call?
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