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

Shackleton, Mark and Wojakowski, Rafał (2001) On the expected payoff and true probability of exercise of European options. Applied Economics Letters, 8 (4). pp. 269-271. ISSN 1350-4851

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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).

Item Type: Journal Article
Journal or Publication Title: Applied Economics Letters
Uncontrolled Keywords: /dk/atira/pure/subjectarea/asjc/2000/2002
Subjects:
Departments: Lancaster University Management School > Accounting & Finance
ID Code: 128949
Deposited By: ep_importer_pure
Deposited On: 13 Nov 2018 14:22
Refereed?: Yes
Published?: Published
Last Modified: 01 Jan 2020 11:39
URI: https://eprints.lancs.ac.uk/id/eprint/128949

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