Final published version
Research output: Contribution to Journal/Magazine › Journal article › peer-review
| <mark>Journal publication date</mark> | 1/01/2001 |
|---|---|
| <mark>Journal</mark> | Applied Economics Letters |
| Issue number | 4 |
| Volume | 8 |
| Number of pages | 3 |
| Pages (from-to) | 269-271 |
| Publication Status | Published |
| <mark>Original language</mark> | English |
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, script N(d 4), lies halfway between the two more familiar terms: script N(d 1) and script N(d2).