Question: Q1. Option Pricing Under LOGNORMAL Distribution Underlying current at $400 with annual return volatility of 30%. There are 28 days b/f expiration. Riskfree rate is

Q1. Option Pricing Under LOGNORMAL Distribution Underlying current at $400 with annual return volatility of 30%. There are 28 days b/f expiration. Riskfree rate is zero. Consider a CALL option with strike at 380$.

Q1a. What is the probability that the CALL will expire ITM

Q1b. What is the average price of the underlying when CALL expires ITM ?

Q1c. What is the average payment for the CALL when it expires ITM?

Q1d. How much should the CALL be priced at today? ?

Q1e. How much of the option price is time value and how much is intrinsic value?

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