Registered: May 2009
06-27-12 04:58 AM
Quote from Kevin Schmit:
Delta is N(d1). The risk-neutral probability of expiring ITM is approximately N(d2). Since d2 is strictly less than d1 (by sigma*sqrt(T-t)), delta will always overstate the true risk-neutral probability.
What's the point in stating the obvious?
Talk about risk-neutral probabilities,... the end result of which, will be the obliteration of one's portfolio, mass hysteria, world wide flooding, and the end of civilization!