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Spot Price: 66 Strike Price: 68 RFR: 6% Volatility: 18% Black-Scholes-Merton model: Using the information given above regarding the spot and strike price, risk-free rate

Spot Price: 66

Strike Price: 68

RFR: 6%

Volatility: 18%

Black-Scholes-Merton model:

Using the information given above regarding the spot and strike price, risk-free rate of return and the fact that the volatility of the share price is 18%, answer following questions:

b.What is the price of an eight-month American call? [1 mark]

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