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rf = 0 and underlying at 100. Annual stdev of $30. 28 days left for the option before expiration. Q1. CALL option with strike of

rf = 0 and underlying at 100.

Annual stdev of $30. 28 days left for the option before expiration.

Q1. CALL option with strike of $95.

Q1a. What is the probability for CALL to expire in the money?

Q1b. What is the average price of the underlying at expiration conditional on CALL expiring ITM?

Q1c. Based on Q1a, and Q1b, how much should the 95 strike CALL be priced at?

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