Question: XYZ Corp. will pay a $2 per share dividend in 2 months. Its stock price currently is $86 per share. A call option on XYZ

XYZ Corp. will pay a $2 per share dividend in 2

XYZ Corp. will pay a $2 per share dividend in 2 months. Its stock price currently is $86 per share. A call option on XYZ has an exercise price of $78 and 3-month time to expiration. The risk-free interest rate is 0.8% per month, and the stock's volatility (standard deviation) = 22% per month. Find the pseudo-American option value. Pseudo-American option value $

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