Assume the following info for a European put option: Stock price today = 35 Strike price = 40 Days to Expiration = 80 Risk free rate =.02 Annual Standard deviation =32% Expected annual arithmetic return = 10%. Assume normal distribution of return; estimate the probability that the above European PUT option will be exercised on expiration date.

Answer rating: 100% (QA)

Normal distribution of return 00201002... View the full answer