Consider an American call option on one share. The current stock price is $65 and the stock is expected to pay a dividend of $5 per share in 6 months time. The strike price of the option is $62, the constant risk-free interest rate is 4% p.a. continuously compounded the stock volatility is 25% p.a. and there are 18 months to maturity. a) What is the current value of the option using Black's (1975) Pseudo American option pricing model? b) Why can't this approach be used to value an otherwise equivalent American put? i.e an American put on the same stock, with the same strike and time to maturity. c) Could you use put-call parity to price the otherwise equivalent American put? Why or why not? Consider an American call option on one share. The current stock price is $65 and the stock is expected to pay a dividend of $5 per share in 6 months time. The strike price of the option is $62, the constant risk-free interest rate is 4% p.a. continuously compounded the stock volatility is 25% p.a. and there are 18 months to maturity. a) What is the current value of the option using Black's (1975) Pseudo American option pricing model? b) Why can't this approach be used to value an otherwise equivalent American put? i.e an American put on the same stock, with the same strike and time to maturity. c) Could you use put-call parity to price the otherwise equivalent American put? Why or why not