New answers tagged


IMHO the 'definition' you mention is not a mathematical definition per se, but rather an approximation used by some practitioners. Mathematically, it is $N(d_2)$ in the BS formula which figures the conditional probability that the terminal asset price $S_T$ will finish above the strike level $X$ given the information we possess today (represented by $S_t$), ...

Top 50 recent answers are included