N(d2) represents the probability of a value that is less than or equal to d2, given a standardized normally distributed random variable. It is used in the Black-Scholes options pricing formula to calculate the value of a call or put option.

Solved

The Term N(d2) Is

Question 388

Multiple Choice

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.

Correct Answer: