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A three-month European call option on the stock of ANX has a strike price of $40. The current stock price is $36. Assuming the expected

A three-month European call option on the stock of ANX has a strike price of $40. The current stock price is $36. Assuming the expected return from the stock is 15% and the volatility is 20% and that no dividends are payable on the stock, calculate the probability that the option will expire in the money.

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