For all the crazy mathematical types who love to look into the details...
In practical trading world, the delta of the option is taken to mean the probability that the option finishes in the money. Here, Professor Nielsen (currently at Columbia) provides a great write-up describing the difference between d1 and d2 under Black Scholes. Try to hold back your excitement!
https://docs.google.com/file/d/0B_RJrlEektmCbmdncVhka1FJa1U/edit
No comments:
Post a Comment