Final published version
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
}
TY - JOUR
T1 - On the expected payoff and true probability of exercise of European options
AU - Shackleton, Mark
AU - Wojakowski, Rafał
PY - 2001/1/1
Y1 - 2001/1/1
N2 - 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).
AB - 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).
U2 - 10.1080/135048501750104079
DO - 10.1080/135048501750104079
M3 - Journal article
AN - SCOPUS:37648999496
VL - 8
SP - 269
EP - 271
JO - Applied Economics Letters
JF - Applied Economics Letters
SN - 1350-4851
IS - 4
ER -