Please solve for A, B, C, and D

Please explain your reasoning.

Please show your work.

Consider a 3-month European call option on a non-dividend paying stock. The current stock price is $20, the risk-free rate is 6% per annum, and the strike price is $20. Assume a risk- neutral world. You calculate the following values using the Black-Scholes-Merton model: d1=0.2000 N(d1) = 0.5793 d2 = 0.1000 N(D2) = 0.5398 a) What is the probability that the call option will be exercised? b) What is the expected stock price at the option's expiration in 3 months? Assume that all values of the stock price less than $20 are counted as zero. c) What is the expected payoff on the option at expiration (in 3 months)? d) Calculate the PV of the expected payoff from part c). Consider a 3-month European call option on a non-dividend paying stock. The current stock price is $20, the risk-free rate is 6% per annum, and the strike price is $20. Assume a risk- neutral world. You calculate the following values using the Black-Scholes-Merton model: d1=0.2000 N(d1) = 0.5793 d2 = 0.1000 N(D2) = 0.5398 a) What is the probability that the call option will be exercised? b) What is the expected stock price at the option's expiration in 3 months? Assume that all values of the stock price less than $20 are counted as zero. c) What is the expected payoff on the option at expiration (in 3 months)? d) Calculate the PV of the expected payoff from part c)