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Business, 24.12.2020 16:00 NeverEndingCycle

To create a delta-neutral portfolio, the SIT fund has sold 10,000 put options on Epsilon stock with a strike price of $80 when the shares were trading at $100. The risk manager from SIT uses the Black-Scholes model to value all its option exposures. The current price of the shares is $90. The annualized standard deviation of Epsilon stock returns is 20% and the option expires in six months. If the risk-free rate is 2%, approximately, what is the likelihood that this option will be exercised

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