27. Use risk-neutral valuation to value a derivative at time t that pays off $1 at time T if the price goes above K. Let S denote the price of a non-dividend paying stock at time t. Express the risk-neutral price of the derivative using the spot price (St), the strike (K), the risk-free rate (r), the stock volatility (C), and time to maturity (r = 1 t). Hint: recall that under risk-neutral valuation and GBM, the stock price is given by Sy = Seelr-) to Vixe (1) where e N(0,1) log()+(r-) (a) VT (b) log(t)-(-) log($)+(-) (c) (x2 () 35 (d) log(*)-(-)