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Underlying current at $ 1 00 with annual return volatility of 45 % . There are 28 days b/f expiration. Riskfree rate is zero. Consider

Underlying current at $100 with annual return volatility of 45%. There are 28 days b/f expiration. Riskfree rate is zero.

Consider a CALL option with strike at $92.5.

What is the probability that the CALL will expire ITM (2point)?

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