Problem 2 Consider a put option with strike 55 and maturity 4 months on a non-dividend paying asset with spot price 60 which follows a lognormal model with drift = 0.1 and volatility = 0.3. Assume that the risk-free rate is constant equal to 0.05 1. Find the probability that the put will expire in the money. 2. Find the risk-neutral probability that the put will expire in the money 3. Compute N(-d2)