As our multi-part project on the Black-Scholes Model marches on, today we begin to crack into the probability density functions that are buried within the formula. Specifically, these are the N(d1) and N(d2) terms that you see in the model. Today’s segment is devoted to our gaining a better understanding of d1 and d2. As always on Thursdays, Frank joins the set to help us down the rabbit hole.
You can watch every part of the Black-Scholes series below:
Part One: Pricing a Call
Part Two: Pricing a Put
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