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(a) Show that the probability that a European call option will be exercised in a risk-neutral world, with the notation introduced in the BSM chapter,

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(a) Show that the probability that a European call option will be exercised in a risk-neutral world, with the notation introduced in the BSM chapter, is equal to N(d2). b) At time T, find an expression for the value of a derivative that pays off $100 if ST>K ? (c) What is the value of this security at time zero using risk-neutral valuation

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