Answer:
Answer for the question:
A stock price follows geometric Brownian motion with an expected return of 16% 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 six months will be exercised(b) What is the probability that a European put option on the stock with the same exercise price and maturity will be exercised?
is given in the attachment.
Explanation: