The Current Price of a Stock Is $100

question 4

Multiple Choice

The current price of a stock is $100.Consider the Black-Scholes model price of a six-month call option at strike $101,given an interest rate of 2% and a dividend rate of 1%? The volatility is 25%.What is the real-world (physical) probability of the option ending up in the money if the growth rate of the stock is expected to be 5% per year?

• A)0.45
• B)0.48
• C)0.49
• D)0.50