Real probability of exercising and expected values of option payoff

RM Wojakowski; M Shackleton

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Journal article

Real probability of exercising and expected values of option payoff

RM Wojakowski and M Shackleton

Futures Market (Rynek Terminowy), Vol.20(2), pp.125-127

04/2003

Abstract

We derive the continuous-time formula for expected payoff to holding an option, which nests several major pricing tools. We also show 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: Real probability of exercising and expected values of option payoff
Creators: RM Wojakowski
M Shackleton
Publication Details: Futures Market (Rynek Terminowy), Vol.20(2), pp.125-127
Date published: 04/2003
Date submitted: 01/04/2013
Identifiers: 99514724502346
Academic Unit: University of Surrey
Language: Polish
Resource Type: Journal article

Real probability of exercising and expected values of option payoff

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