The term N(d₂) is: A) The European put option delta. B) The European call option delta. C) The probability of a value that is less than or equal to d₂, given a standardized normally distributed random variable. D) The probability of a value that is greater than or equal to N(d₁), given a standardized normally distributed random variable. E) The symbol for the measure of sensitivity of an option's value to a change in the time to expiration.

Question

Quizplus · Accepted Answer

The term N(d₂) refers to the cumulative distribution function of a standard normal distribution, which gives the probability that a normally distributed random variable is less than or equal to a particular value. This is a statistical concept and does not directly relate to the delta of European options or the sensitivity of an option's value to time to expiration.

The Term N(d2) Is

The Term N(d₂) Is