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What is the price of the american call

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Reference no: EM131179270

Consider a stock with a price of $120 and a standard deviation of 20 percent.

The stock will pay a dividend of $5 in 40 days and a second dividend of $5 and 130 days. The current risk-free rate is 5 percent per annum. An American call on this stock has an exercise price of $150 and expires in 100 days.

What is the price of the American call? Show all calculations.

Reference no: EM131179270

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