p******5
发帖数: 138 | 1 N(d1) 和 N(d2) 怎么理解呢？
N(d1) 是 in the money 的概率
而 N(d2) 是 这个 call 执行的概率
这两个有什么区别呢？ 我总觉得不一样的吗？ in the money 就执行了啊？ |
z****u
发帖数: 185 | 2 N(d1) is the probability of stock being in the money in the stock measure.
N(d2) is the probability of stock being in the money in the risk-neutral
measure. |
p******5
发帖数: 138 | |
m*********g
发帖数: 646 | 4 似乎反了？
参考binary option 的价格是 exp(-rT)N(d2).
【在 z****u 的大作中提到】
: N(d1) is the probability of stock being in the money in the stock measure.
: N(d2) is the probability of stock being in the money in the risk-neutral
: measure.
|
z****u
发帖数: 185 | 5 you are right.
I just fixed.
【在 m*********g 的大作中提到】
: 似乎反了？
: 参考binary option 的价格是 exp(-rT)N(d2).
|
