The prices of a certain security followa geometric brownian motion with parameters μ = .12 and σ = .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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