The prices of a certain security follow a geometric brown-


The prices of a certain security follow a geometric Brown- ian motion with parameters μ = 0.12 and σ = 0.24. If the security’s price is presently 40, what is the probability that a call option, having four months until its expiration time and with a strike price of K = 42, will be exercised? (A security whose price at the time of expiration of a call option is above the strike price is said to finish in the money.)

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Financial Management: The prices of a certain security follow a geometric brown-
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