Re: P(S(T) < K) ?

Posted by Peter Caspers-4 on Oct 28, 2015; 8:37am
URL: http://quantlib.414.s1.nabble.com/P-S-T-K-tp17002p17003.html

Hi Jaroslav,

if d is the price of a european digital put with expiry t and strike
K, then d / P(0,t) is the probability for S(t) < K (in the t-forward
pricing measure). I think.

Best regards
Peter


On 28 October 2015 at 08:33, Jaroslav Tupý <[hidden email]> wrote:

> Hi,
>
> Does anyone know if jquantlib has a way of answering the question "What's the probability of a stock being below a price in N days?" (given volatility, risk free rate, etc.) Something similar to what's being discussed in this thread:
> http://quant.stackexchange.com/questions/7169/how-to-calculate-stock-move-probability-based-on-option-implied-volatility-and-t
>
> Thanks
> Jaroslav
>
>
>
> Sent from my iPhone
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