Solved: Find a formula for the value at time 0 of cash-or-nothing, Basic Statistics

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Find a formula for the value at time 0 of cash-or-nothing

Question: Find a formula for the value (at time 0) of cash-or-nothing option that pays off $1 if St > K and 0 otherwise. What is the value when the strike is the initial value, the option is for 1/4 year, the volatility is σ = 0.3, and for simplicity we suppose that the interest rate is 0.

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Basic Statistics: Find a formula for the value at time 0 of cash-or-nothing

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