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Assume that a stock index follows a risk-neutral Geometric Brownian motion with drift = (r-q)- /2 where q is the index dividend yield. Show that
Assume that a stock index follows a risk-neutral Geometric Brownian motion with drift = (r-q)-/2 where q is the index dividend yield. Show that the probability that a European call (on this stock index) is exercised, is equal to (d2).
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