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Understanding N(d1) and N(d2): Risk-adjusted probabilities in the Black-Scholes Model

Author: Nielsen, Lars Tyge INSEAD Area: FinanceIn: Finance. Revue de l'Association Française de Finance, vol. 14, no. 1, 1993 Language: EnglishDescription: p. 95-106.Type of document: INSEAD ArticleNote: Please ask the Library for this articleAbstract: The Black-Scholes formula is an expression for the current value of a European call option on a stock which pays no dividends before expiration of the option. The formula expresses the call value as the current stock price times a probability factor N(d1) minus the discounted exercise payment times a second probability factor N(d2)
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The Black-Scholes formula is an expression for the current value of a European call option on a stock which pays no dividends before expiration of the option. The formula expresses the call value as the current stock price times a probability factor N(d1) minus the discounted exercise payment times a second probability factor N(d2)

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