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Assume the following info for a European put option: Stock price today = 35 Strike price = 40 Days to Expiration = 80 Risk free

Assume the following info for a European put option:

Stock price today = 35

Strike price = 40

Days to Expiration = 80

Risk free rate =.02

Annual Standard deviation =32%

Expected annual arithmetic return = 10%.

Assume normal distribution of return; estimate the probability that the above European PUT option will be exercised on expiration date.

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