What is probability that in years time at option expiration

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Reference no: EM131539875

Consider a one-year put with a strike of $55. Risk free rate 3% per year and annualized volatility is 11.5%.

What is the probability that in a years time, at option expiration, the spot price is above $55 ? What is the probability it is above $60? (Hint: you know the entire terminal distribution)

Reference no: EM131539875

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