请教B-S模型中的参数

sungirl 发表于 2009-5-28 23:30
对于call，期权的定价是（St-K）+，当St>K时就执行买权，否则不执行；对于put，期权定价是（K-St）+，St ...

N(d1)的计算方法为什么像买卖被执行的概率，反倒N(d2)不知道是怎么来的？

2200801056 发表于 2013-9-6 11:17
N(d1)的计算方法为什么像买卖被执行的概率，反倒N(d2)不知道是怎么来的？

N(d2) is the probability that the call is exercised under risk neutral measure.

N(d1) can be viewed as the probability that the call is exercised under forward risk neutral measure with the numeraire S (underlying price).

none of them is the real probability of the call will be exercised.

best,

Chemist_MZ 发表于 2013-9-6 19:40
N(d2) is the probability that the call is exercised under risk neutral measure.

N(d1) can be vi ...

非常谢谢终于弄明白了！