- CFA Exams
- CFA Level I Exam
- Topic 7. Derivatives
- Learning Module 32. Valuation of Contingent Claims
- Subject 4. Black-Scholes-Merton Option Valuation Model
CFA Practice Question
N(-d2) represents the probability that ______ expire(s) in the money.
B. the put option
C. both the call and put option
A. the call option
B. the put option
C. both the call and put option
Correct Answer: B
On the other hand, N(d2) = 1 - N(-d2) measures the probability that the call option expires in the money.
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