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You have a stock trading at $100. The stock follows a lognormal distribution with drift...

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Finance

You have a stock trading at $100. The stock follows a lognormal distribution with drift of 20% and volatility of 30%. The risk free rate is 2%.

What is the risk-neutral probability for a 3-month 100 put to expire in the money? Find N(-d2). Compare the results. Show your work!

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