Consider a nondividend-paying stock whose current price is 100. The stock-price process is a lognormal process with
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Consider a nondividend-paying stock whose current price is 100.
The stock-price process is a lognormal process with volatility 30%.
The continuously compounded expected return on the stock is 10%.
The continuously compounded risk-free interest rate is 7%.
Calculate the probability that a nine-month 75-strike European call option on the stock will be exercised.
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