On the expected payoff and true probability of exercise of European options
The continuous-time formula for expected payoff to holding an option, which nests several major pricing tools, is derived. It is shown also that under current market conditions the true exercise probability, N (d4), lies halfway between the two more familiar terms: N (d1) and N (d2).
Year of publication: |
2001
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Authors: | Shackleton, Mark ; Wojakowski, Rafal |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 8.2001, 4, p. 269-271
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Publisher: |
Taylor & Francis Journals |
Saved in:
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