FRM part II
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FRM part II

Postby » Sun Mar 02, 2014 7:43 am

The probability of being Asset price above Strike price of a call option is N(d2)-Can anybody explain this please. I know I have read somewhere but I can quite recollect it

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FRM part II

Postby shreyas » Fri Mar 07, 2014 11:55 am

Go through the Merton model theory.Probability of exercising the option is when asset price is greater than strike price(debt) in case of Merton model.

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FRM part II

Postby pradeeppdy » Thu Apr 03, 2014 7:22 am

When the Asset price is above the strike price this is In the Money call option and the option has intrinsic value . The amount of premium is at least intrinsic value. If the asset price increases the premium being traded also increases and vice versa.

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