A binary option pays off R165 if a stock price is greater than R65 in three months. The current stock price is R50 and its volatility is 35%. The risk-free rate is 4% and the expected return on the stock is 10%.

a) The risk-neutral probability of the payoffs (d2) is ?. (2)

Enter the amount, either negative (e.g., -5.6789) or positive (e.g., 5.6789), rounded to four decimals.

b) Assume that d2 was calculated as - 1.5250 (minus 1.5250); use the tables to calculate N(-d2), and use interpolation. (2)

The probability is, therefore, ?.

Enter the four-decimal cumulative probability (e.g., 0.5832).

c) What would the value of the option be if N(-d2) were determined to be 0.1084? (2)

The value of the option is $?.

Round your answer to two decimal places (e.g., 12.23)