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Original Articles

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

Pages 269-271 | Published online: 06 Oct 2010

References

  • Black , F. and Scholes , M. 1973 . The pricing of options and corporate liabilities . Journal of Political Econoy , 81 ( 3 ) : 637 – 654 .
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  • Carr , P. and Madan , D. 1998 . Optimal positioning in derivative securities , University of Maryland working paper .
  • Cox , J. C. and Rubinstein , M. 1985 . Options Markets , Englewood Cliffs, NJ : PrenticeHall .
  • 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 .
  • 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 – 458 .
  • Hida , T. 1980 . Brownian Motion , New York : Springer-Verlag .
  • Margrabe , W. 1978 . The value of an optin to exchange one asset for another . Journal of Finance , 33 ( 1 ) : 177 – 186 .
  • 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 – 1509 .

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