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

M Shackleton; R Wojakowski

doi:10.1080/135048501750104079

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

Journal article

Peer reviewed

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

M Shackleton and R Wojakowski

Applied Economics Letters, Vol.8(4), pp.269-271

2001

DOI: https://doi.org/10.1080/135048501750104079

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).

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Title: On the expected payoff and true probability of exercise of European options
Creators: M Shackleton
R Wojakowski
Publication Details: Applied Economics Letters, Vol.8(4), pp.269-271
Date published: 2001
Date submitted: 16/05/2017
Identifiers: 99511977302346
Academic Unit: University of Surrey
Resource Type: Journal article

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

Abstract

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