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Consider a European call option written on a non-dividend paying stock. The stocks spot price is S 0 = 100 and its return volatility is

Consider a European call option written on a non-dividend paying stock. The stocks spot price is S0 = 100 and its return volatility is 12% per annum. The call matures in T = 11 months and its strike price is K = 110. The continuously compounded risk-free rate of interest is 10% per annum.

Calculate the risk-neutral probability that the European call will end up in-the-money.

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