You are given the following information about a nondividend-paying stock: (i) The current stock price is 100.

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You are given the following information about a nondividend-paying stock:

(i) The current stock price is 100.

(ii) Stock prices are lognormally distributed.

(iii) The continuously compounded expected return on the stock is 10%.

(iv) The stock’s volatility is 30%.

Consider a nine-month 125-strike European call option on the stock.

Calculate the probability that the call will be exercised.

(A) 24.2%

(B) 25.1%

(D) 30.6%

(E) 33.0%

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Derivative Pricing

ISBN: 9780367734213

1st Edition

Authors: Ambrose Lo

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Question Posted: Nov 22, 2023 08:05 AM

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You are given the following information about a nondividend-paying stock: (i) The current stock price is 100.

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A With d In100125 01 0 03...View the full answer

Derivative Pricing

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