Question: Consider a continuous time framework where stock prices follow a GBM process. Consider a stock currently trading at $100 per share, with a return volatility

Consider a continuous time framework where stock prices follow a GBM process. Consider a stock currently trading at $100 per share, with a return volatility of 35%, and does not currently pay dividends. The riskless rate isrf=2% per annum (continuously compounded).

Based on this information, what would be the price of purchasing a contingent claim in this economy that pays $1 if the stock is worth less than $90 one year from today (and pays nothing otherwise)?

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