# Ito’s Lemma Class Problem for Tuesday, March 27

I am planning on featuring, among other things, this Ito’s Lemma Class Problem on Tuesday.  You’ll probably find that the Normal Probability Distribution for the continuously compounded rate of return and Black-Scholes-Merton European Option Pricing Formulas listed on page 2 of the Formula Sheet for Midterm exam #2 will come in quite handy.  Furthermore, the risk neutral probability that the call option expires in the money is given by $N({d_2})$; we discussed this fact back when we covered the  Convergence of the Cox-Ross-Rubinstein (CRR) Binomial Option and Black-Scholes-Merton (BSM) Option Pricing Formulas reading.