References in periodicals archive ?
Then, one can compute European style option prices with expiry T and payoff H, using the formula [P.sub.t] = [E.sup.*] {[e.sup.-r(T-t)]H([X.sub.T]) | [F.sub.t]}.
Assume the payoff function H(XT) is continuous and piecewise smooth, and the discounted European style option price is [C.sup.2] as a function of the parameters.
A European style option may be exercised only during a specified period before the option expires.
For simplicity, let's assume that an investor wants to value a European style option; one which can only be exercised at expiration.
Although this demonstration was for a European style option, it can easily be extended for an American style option.
The Black-Scholes formula is based on a European style option and is best used in valuing those types of options.
Fahlenbrach and Sandas study the determinants of the bid-ask spreads for index options using a sample that consists of all trades and quotes for the European style options and the futures on the FTSE 100 stock index from August 2001 to July 2002.

Full browser ?