Roslin Robotics stock has a volatility of 35% and a current stock price of $60 per share. Roslin pays no dividends. The risk-free interest rate is 5%. Today, a financial dealer issued a one-year European call option on Roslin stock and the option is at the money.

(a) You are going to invest in the European call option of Roslin stock and have collected all the information as described in the information box. A brokerage firm contacted you today to sell its research report on the expected return of Roslin stock in the next year. The brokerage firm claims that by knowing the expected return of Roslin stock, you can evaluate the call option of Roslin stock more accurately. Do you agree with the brokerage firm if all assumptions for the Black-Scholes model hold? Briefly explain your answer.

(b) What is the price of the call option of Roblin stock using the Black-Scholes model?

(c) What is the risk-adjusted probability that the call option will be exercised at expiration?