Question 10: A stock with 15% expected return and 30% volatility is currently trading at $35.

Consider a six months European call option with $38 strike. Assume 4% risk-free rate.

A. What is the probability of that European call option will be exercised assuming the stock follows

geometric Brownian motion? (Hint: use tbe BlackScholesModel python notebook or use the

NORM.DIST excel function to help evaluate the standard cumulative normal distribution, N(x) is

NORM.DIST(x, 0, 1, TRUE) in excel)

B. Calculate the Black/Scholes price of that option

C. Calculate the delta of that option.