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XYZ Corporation will pay a $ 2 per share dividend in two months. Its stock price currently is $ 7 5 per share. A European

XYZ Corporation will pay a $2 per share dividend in two months. Its stock price currently is $75 per share. A European call option on
XYZ has an exercise price of $70 and 3-month time to expiration. The risk-free interest rate is 0.65% per month, and the stock's
volatility (standard deviation)=15% per month. Find the Black-Scholes value of the option. (Hint: Try defining one "period" as a month,
rather than as a year, and think about the net-of-dividend value of each share.)
Note: Round your answer to 2 decimal places.
Black-Scholes value of the option
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