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A spot price of an asset has an expected return of 16% and a volatility of...

A spot price of an asset has an expected return of 16% and a volatility of 35%. The current price is $38.

  1. What is the probability that a European call option on the asset with an exercise price of $40 and a maturity date in six months will be exercised?
  2. What is the probability that a European put option on the asset with the same exercise price and maturity will be exercised?
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