The Skinny On Options Math - June 30, 2021 - Changing Probabilities

published 3 weeks ago by tastytrade, Inc.

At the base of the Black-Scholes model are Brownian motions. This means that probabilities are computed using familiar normal distributions. Today, Jacob joins Tom and Tony to digest the formula for probability of a strike break and see how we can expect it to change with changes in volatility and spot price.

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