A binary option pays off $100 if a non-dividend-paying stock price is greater than its current value in three months. The risk-free rate is 3% and the volatility is 40%. Which of the following is its value?

A. 99.25N(-0.1375)
B. 99.25N(0.1375)
C. 99.25N(-0.0625)
D. 99.25N(0.0625)

C

Business

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Indicate whether the statement is true or false

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