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

Applied Economics Letters

Volumn 8, Issue 4, 2001, Pages 269-271

  Shackleton, Mark ^a   Wojakowski, Rafał ^a  

^a LANCASTER UNIVERSITY   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 37648999496     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/135048501750104079     Document Type: Article

References (9)

1. Black, F. and Scholes, M. (1973) The pricing of options and corporate liabilities, Journal of Political Econoy, 81(3), 637-54.
2. Boness, J. A. (1964) Elements of a theory of stock-option value, Journal of Political Economy, 72(2), 163-75.
3. Carr, P. and Madan, D. (1998) Optimal positioning in derivative securities, University of Maryland working paper.
4. Cox, J. C. and Rubinstein, M. (1985) Options Markets, Prentice-Hall, Englewood Cliffs, NJ.
5. Galai, D. (1978) On the Boness and Black-Scholes models for valuation of call options, Journal of Financial and Quantitative Analysis, 13(1), 15-27.
6. Geman, H., El-Karoui, N. and Rochet, J.-C. (1995) Changes of numéraire, changes of probability measure and option pricing, Journal of Applied Probability, 32, 443-58.
7. Hida, T. (1980) Brownian Motion, Springer-Verlag, New York.
8. Margrabe, W. (1978) The value of an optin to exchange one asset for another, Journal of Finance, 33(1), 177-86.
9. Rubinstein, M. (1984) A simple formula for the expected rate of return of an option over a finite holding period, Journal of Finance, 39(5), 1503-9.