OPT_PROB_INMONEY function

OPT_PROB_INMONEY

Returns the probability that an asset will end up between two barrier levels at maturity, assuming that the stock price can be modeled as a process S that follows the stochastic differential equation, as follows.

OPT_PROB_INMONEY equation µ is the asset’s percentage drift, vol is the percentage volatility of the stock, and dW is a random sample drawn from a normal distribution with a zero mean. W is a Wiener process or Brownian motion. If the optional Strike and PutCall arguments are included, then For a call option, the function returns the probability that the asset will end up between Strike and UpperBarrier. For a put option, the function returns the probability that the asset will end up between LowerBarrier and Strike. The function ignores the possibility of knock-out before maturity.