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QUESTION 11 Consider an American call option on one share. The current stock price is $100 and the stock is expected to pay a dividend

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QUESTION 11 Consider an American call option on one share. The current stock price is $100 and the stock is expected to pay a dividend of $8.84 per share in 1 years time. The strike price of the option is $110, the risk free interest rate is 10% per annum, the volatility is 20% per annum and there is 2 years to maturity. What is the current value of the option using Black's (1975) Pseudo American option pricing model ? 5

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