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On the expected payoff and true probability of exercise of European options

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On the expected payoff and true probability of exercise of European options. / Shackleton, Mark; Wojakowski, Rafał.
In: Applied Economics Letters, Vol. 8, No. 4, 01.01.2001, p. 269-271.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Shackleton, M & Wojakowski, R 2001, 'On the expected payoff and true probability of exercise of European options', Applied Economics Letters, vol. 8, no. 4, pp. 269-271. https://doi.org/10.1080/135048501750104079

APA

Shackleton, M., & Wojakowski, R. (2001). On the expected payoff and true probability of exercise of European options. Applied Economics Letters, 8(4), 269-271. https://doi.org/10.1080/135048501750104079

Vancouver

Shackleton M, Wojakowski R. On the expected payoff and true probability of exercise of European options. Applied Economics Letters. 2001 Jan 1;8(4):269-271. doi: 10.1080/135048501750104079

Author

Shackleton, Mark ; Wojakowski, Rafał. / On the expected payoff and true probability of exercise of European options. In: Applied Economics Letters. 2001 ; Vol. 8, No. 4. pp. 269-271.

Bibtex

@article{2a06ca6a06e840bca5a0964e0303b7c6,
title = "On the expected payoff and true probability of exercise of European options",
abstract = "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).",
author = "Mark Shackleton and Rafa{\l} Wojakowski",
year = "2001",
month = jan,
day = "1",
doi = "10.1080/135048501750104079",
language = "English",
volume = "8",
pages = "269--271",
journal = "Applied Economics Letters",
issn = "1350-4851",
publisher = "Routledge",
number = "4",

}

RIS

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 -