A call option is said to be "in the money" if the market price of the stock is higher than the striking price. Suppose that the stock follows a geometric Brownian motion with drift α, variance σ 2 ,...

A call option is said to be "in the money" if the market price of the stock is higher than the striking price. Suppose that the stock follows a geometric Brownian motion with drift α, variance σ²
, and has a current market price of z. What is the probability that the option is in the money at the expiration time τ? The striking price is a.