A binary option pays off $130 if a non-dividend-paying stock price is greater than its current value in three months. The risk-free rate is 6% and the volatility is 43%. Which of the following is its value? Note that N( . ) is the cumulative distribution function of a standard normal random variable.

a.

128.06N(0.1773)

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b.

128.06N(0.0377)

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c.

128.06N(-0.0377)

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d.

128.06N(0.1773)

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