What is the probability that the holder of the european, Financial Management

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What is the probability that the holder of the european

A stock price follows geometric Brownian motion with an annual expected return of 6% and a volatility of 35%. The current price is $38.

a) What is the probability that a European call option on the stock with an exercise price of $40 and a maturity date in 12 months will be exercised?

b) What is the probability that the holder of the European call option on the stock will profit $4.5 upon exercising the option?

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