Module 10Normals & Black-ScholesLesson 2 of 718 min
d1 and d2 Explained
Interpret and implement the BS kernels.
Formulas
d1 = [ln(S/K)+(r+σ²/2)T] / (σ√T)
d2 = d1 - σ√T
Intuition
d2 relates to risk-neutral ITM probability for calls; d1 adjusts for stock-numeraire.
Challenge
Sweep K=80..120 and print d2 for each.
Tips
- ATM S=K simplifies ln term
- T→0 needs care
- Reuse in price and greeks
Try it live
d1 and d2 ExplainedRust 2021
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Output
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