First time posting here, and I am trying to read up on all these functions as
well as try to figure out the theoretical math behind this.I am trying to solve
a problem ..
Suppose I have an American style option and I know the volatility of the
underlying (or can make a judgement). I believe, taking into account
black-scholes, we can account for the probability of expiring in the money
approximately by just using delta. However, I am more interested in calculating
the probability of the underlying touching a strike price sometime between now
and expiration.
Is there a way in the framework to calculate this? I am not asking to solve the
problem, just point me in the right direction.
If the question is a matter of American vs European then the same question for
European and I can work backwards, or use it as an approximation.
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