Tag Info

New answers tagged


By definition the payoff of an option is given by an expectation value of the form $\mathbf{E}\left[\textrm{payoff}(paths)\right]$, where the probability distribution of the paths is the risk neutral measure. This is just an integral expression of the form you wrote. This applies to all option prices. Many options are, of course, special in the sense that ...

Top 50 recent answers are included