You are given the following information about a European call option. 

• The current stock price is $35.

• The exercise price is $40.

• The option matures in 6 months.

• The expected return on the stock is 18% per annum.

• The volatility, σ, of the stock price is 24% per annum.

• The stock’s price at each future time T, given its current price, is lognormally distributed.

• The stock pays no dividends.

What is the probability that the call option will be exercised?