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A Stock Is Currently Trading At S0=25.85S _ { 0 } = 25.85

Question 3

Multiple Choice

A stock is currently trading at S0=25.85S _ { 0 } = 25.85 .It is not expected to pay dividends over the next year.You price a six-month put option on the stock with a strike of K=15K = 15 using the Black-Scholes model and find the following numbers: d1=2.115d2=1.832N(d1) =0.983N(d2) =0.967\begin{array} { r l r l } d _ { 1 } & = 2.115 & d _ { 2 } & = 1.832 \\N \left( d _ { 1 } \right) & = 0.983 & N \left( d _ { 2 } \right) & = 0.967\end{array} Given this information,the risk-neutral probability of the put finishing in the money is


A) 1.7%
B) 1.832%
C) 2.115%
D) 3.3%

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