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For an American call option on a stock: (i) The stock price is 50 . (ii) The strike price is 45 . (iii) There are

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For an American call option on a stock: (i) The stock price is 50 . (ii) The strike price is 45 . (iii) There are 3 months to expiry. (iv) The stock is about to pay a dividend of D immediately, and will pay another dividend of D in 3 months. (v) r=0.04. Determine the highest value of D such that early exercise is definitely not optimal

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