Question II: (a) Show that the probability that a European call option will be exercised in a risk-neutral world, with the notation introduced in the BSM chapter, is equal to N(d2). b) At time T, find an expression for the value of a derivative that pays off $100 if ST > K? (c) What is the value of this security at time zero using risk-neutral valuation. Question II: (a) Show that the probability that a European call option will be exercised in a risk-neutral world, with the notation introduced in the BSM chapter, is equal to N(d2). b) At time T, find an expression for the value of a derivative that pays off $100 if ST > K? (c) What is the value of this security at time zero using risk-neutral valuation