(Risk-neutral probability to be in the money) The “risk-neutral” probability that a European call option on the stock will be exercised is N(d2

) (same expression as in Black–Scholes option pricing formula). What is the riskneutral probability that a European call option on a stock with an exercise price of $40 and that a maturity date in 6 months will be exercised? The current stock price is at $38, the interest rate is at 5%, and the stock return volatility is at 25%.