When the risk committee of Company ABC's board deliberates the valuation discrepancies between deep out-of-the-money call options for ABC shares and deep out-of-the-money call options for the USD/GBP currency pair, they employ the Black-Scholes-Merton model. Specifically, they consider using two distinct probability distributions for the underlying asset prices at the expiration of these options: a traditional lognormal distribution and a risk-neutral implied probability distribution, each derived from the volatility smile for the respective options, assuming the same maturity and moneyness. What would be the correct outcome if the risk-neutral implied probability distribution is used instead of the lognormal distribution?
