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From: Matt <qua...@sh...> - 2011-10-19 01:40:20
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First time posting here, and I am trying to read up on all these functions as well as try to figure out the theoretical math behind this.I am trying to solve a problem .. Suppose I have an American style option and I know the volatility of the underlying (or can make a judgement). I believe, taking into account black-scholes, we can account for the probability of expiring in the money approximately by just using delta. However, I am more interested in calculating the probability of the underlying touching a strike price sometime between now and expiration. Is there a way in the framework to calculate this? I am not asking to solve the problem, just point me in the right direction. If the question is a matter of American vs European then the same question for European and I can work backwards, or use it as an approximation. |