Thank you for all the responses!
It turned out that my "theory" contained an error - the answer is 0.2544, and this was confirmed with the simulation in R.
My students will be impressed - and I will quote where I found the great help.
 
Regards
Jacob
 
 
 
Jacob L van Wyk
Dept of Statistics
University of Johannesburg
P O Box 524
Auckland Park 2006
South Africa
Tel: +27-11-559-3080
Fax: +27-11-559-2832
Cell: +27-82-859-2031

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