A binary option pays off $130 if a non-dividend-paying stock price is greater than its current value in three months. The risk-free rate is 6% and the volatility is 43%. Which of the following is its value? Note that N( . ) is the cumulative distribution function of a standard normal random variable.
a. 128.06N(0.1773) cross out
b. 128.06N(0.0377) cross out
c. 128.06N(-0.0377) cross out
d. 128.06N(−0.1773) cross out