Calculation of the probability that call option on the stock will expire into money. We assume that return on the stock follows Geometric Brownian motion (GMB).I recommend:1. Neil Chriss, Black-Scholes and Beyond2. John Hull, Options, Futures, and Other Derivatives3. youtube/bionicturtledotcom
Financial Derivatives: Probability that Call Option Will Expire Into Money
Posted by Mike at 1:43 AMThis entry was posted on 1:43 AM and is filed under Brownian, call, derivatives, financial, Geometric, motion, option, vorojtsov . You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.
