Under black-scholes model, i know the probability of exercising European call option = Phi (d2) My question is : Is the probability of exercising European put option = Phi (-d2) ?
P(exercising call option) = P(ST > K) = Phi(d2). P(exercising put option) = P(ST < K) = 1 - P(ST > K) = 1 - Phi(d2) = Phi(-d2).
Hi Cookie, Chapter 16, Section 1.4 Example: the Black-Scholes formula for a call option In the proof, look at the second integral - this is integrating the PDF from K to infinity. Well, that's PQ[S>K] Good luck! John