<t>What you have is a standard normaly ditributed variable with drift mu*T and standard deviation sigma*sqrt(T).First I believe you should integrate from minus infinity to a if Y is normally distributed, secondly, the integral is not solvable analytically, there are tables for these kind of integral...

Is the question how to price an option with bermudan feature with underlier being equity type? But then the option is not European...

try Malz, A. M., 1997, “Estimating the Probability Distribution of the Future Exchange Rate from Option Prices,” The Journal of Derivatives, Vol. 5, pp. 18-36.

HiDid you get the solutions manual J?I am a bit interested in it myself, and was wondering if there by any chance was someone willing to help me get one?Regards.