XYZ Corp. will pay a $2 per share dividend in 2 months. Its stock price currently is $78 per share. A call option on XYZ has an exercise price of $72 and 3-month time to expiration.
The risk-free interest rate is 0.8% per month, and the stock's volatility (standard deviation) = 17% per month. Find the pseudo-American option value.
(Hint: Try defining one "period" as a month, rather than as a year.)
(Round your answer to 2 decimal places. Omit the "tiny_mce_markerquot; sign in your response.) Im getting 6.04 but its wrong.