XYZ Corp. will pay a dividend of $2 per share in 2 months. Its share price is currently $64 per share. A call option on XYZ has a strike price of $58 and a time to expiration of 3 months. The risk-free interest rate is 0.7% per month and the stock's volatility (standard deviation) = 8% per month. Find the value of the pseudo-American option. (Hint: try defining a "period" as a month, instead of a year . ) (Round your answer to 2 decimal places. Omit the "$" sign in your answer.)

Pseudo-American option value

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Answer rating: 100% (QA)

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