P(settle > strike) — the UP digital, with the SVI skew correction. inputs.svi is the already-rolled surface (no roll-down applied here). forward and strike share units. Returns a probability in [0, 1].
inputs.svi
forward
strike
P(settle > strike) — the UP digital, with the SVI skew correction.
inputs.sviis the already-rolled surface (no roll-down applied here).forwardandstrikeshare units. Returns a probability in [0, 1].