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Let $\tau = T-t$. Then \begin{align*} S_T = S_t e^{(\mu - \frac{1}{2}\sigma^2) \tau + \sigma \sqrt{\tau}\, Z}, \end{align*} where $Z$ is a standard normal random variable, independent of $\mathcal{F}_t$. Moreover, \begin{align*} E\left(S_T 1_{\{S_T >K\}}\mid \mathcal{F}_t \right) &= E\left(S_t e^{(\mu - \frac{1}{2}\sigma^2) \tau + \sigma \sqrt{\tau}\, ...


2

Another take on the question which uses stochastic calculus [Digression] Assume deterministic and constant rates without loss of generality. Also assume the absence of arbitrage opportunities and market completeness Let $B_t$ denote the time-$t$ value of a risk-free money market account in which 1 unit of currency $C$ has been invested at $t=0$: ...



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