In the Black-Scholes option pricing formula, N(d₁) is the probability that a standardized, normally distributed random variable is:

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In the Black-Scholes model, $N(d)$ represents the cumulative distribution function (CDF) of a standard normal distribution. The expression $N(d₁)$ thus represents the probability that a standardized, normally distributed random variable is less than or equal to the value $d₁$. This is a fundamental property of the CDF of any continuous probability distribution, including the standard normal distribution.

In the Black-Scholes Option Pricing Formula, N(d1) Is the Probability

In the Black-Scholes Option Pricing Formula, N(d₁) Is the Probability