Pricing European option if Stock price follows a normal distribution

Suppose the stock price S obeys a normal (instead of a lognormal) distribution: Sy ~ N(Spe"T, OVT) We'd like to calculate the price of an option which pays max(ST - K,0) at expiry T. The way to do it is to calculate the following expectation value: 00 1 1 C = e-rT E[max(S K,0)] = e -OT e max(Soe'T + OV Tx K,0)- 21 ***dx=e*** | Ser +oVx-K) ed V21 Where d = K Soest OVT Your task is to find the option price by solving the above integral. 7 1 edx Hint: you can express your final answer with the following function: N(z) dx 211 0 Notice that N(-2) = 1- N(z) = van de dx dx 2 Suppose the stock price S obeys a normal (instead of a lognormal) distribution: Sy ~ N(Spe"T, OVT) We'd like to calculate the price of an option which pays max(ST - K,0) at expiry T. The way to do it is to calculate the following expectation value: 00 1 1 C = e-rT E[max(S K,0)] = e -OT e max(Soe'T + OV Tx K,0)- 21 ***dx=e*** | Ser +oVx-K) ed V21 Where d = K Soest OVT Your task is to find the option price by solving the above integral. 7 1 edx Hint: you can express your final answer with the following function: N(z) dx 211 0 Notice that N(-2) = 1- N(z) = van de dx dx 2