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Consider a European call option written on a non-dividend paying stock. The stocks spot price is S0 = 90 and its return volatility is 13%

Consider a European call option written on a non-dividend paying stock. The stocks spot price is S0 = 90 and its return volatility is 13% per annum. The call matures in T = 8 months and its strike price is K = 60. The continuously compounded risk-free rate of interest is 8% per annum. Calculate the risk-neutral probability that the European call will end up in-the-money

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