New answers tagged

4 votes
Accepted

Is $N(d_1)$ a good approximation that a swap enters in the money?

It is best to , as you say, extract the risk neutral density from a model that fits the market skew , such as sabr. Then you can compute the probability directly. The problem with N(d) is that you ...
dm63's user avatar
  • 15.5k

Top 50 recent answers are included