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Plz show your work. Underlying current at $1000 with annual return volatility of 24%. There are 63 days b/f expiration. Riskfree rate is 6%. Consider

Plz show your work.

Underlying current at $1000 with annual return volatility of 24%. There are 63 days b/f expiration. Riskfree rate is 6%. Consider a CALL option with strike at 900.

a. What is the probability that the CALL will expire ITM?

b.What is the average price of the underlying when CALL expires ITM?

c.What is the average payment for the CALL when it expires ITM at expiration?

d. How much should the CALL be priced at today?

e. How much of the option price is time value and how much is intrinsic value?

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