Question
When there are two dividends on a stock, Blacks approximation sets the value of an American call option equal to which of the following? a.
When there are two dividends on a stock, Blacks approximation sets the value of an American call option equal to which of the following?
a.
The value of a European option maturing just before the second dividend
b.
The higher of the following three values: 1) the value of a European option maturing just before the first dividend; 2) the value of a European option maturing just before the second dividend and 2) the value of a European option assuming no early exercise
c.
The value of a European option maturing just before the first dividend
d.
The higher of the following two values: 1) the value of a European option maturing just before the second dividend and 2) the value of a European option assuming no early exercise
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