The Current Price of a Stock Is $100

Multiple Choice

The current price of a stock is $100. Consider the Black-Scholes model price of a six-month call option at strike $101, given an interest rate of 2% and a dividend rate of 1%? The volatility is 25%. What is the risk-neutral probability of the option ending up in the money?

A) 0.45
B) 0.48
C) 0.49
D) 0.50