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

Shackleton, M and Wojakowski, R (2001) On the expected payoff and true probability of exercise of European options Applied Economics Letters, 8 (4). pp. 269-271.

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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, N(d4), lies halfway between the two more familiar terms: N(d1) and N(d2).

Item Type: Article
Authors :
NameEmailORCID
Shackleton, MUNSPECIFIEDUNSPECIFIED
Wojakowski, Rr.wojakowski@surrey.ac.ukUNSPECIFIED
Date : 2001
Identification Number : https://doi.org/10.1080/135048501750104079
Depositing User : Symplectic Elements
Date Deposited : 16 May 2017 15:18
Last Modified : 17 May 2017 14:33
URI: http://epubs.surrey.ac.uk/id/eprint/818693

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