▁equ ity ▁linked ▁convert ible ▁notes , ▁and ▁any ▁put able ▁or ▁call able ▁ex otic ▁cou pon ▁notes . ▁ ▁Although ▁see ▁ ▁and ▁ ▁for ▁qual ifications ▁here . ▁F ug it ▁is ▁also ▁useful ▁in ▁estim ating ▁" the ▁( ris k - neut ral ) ▁expected ▁life ▁of ▁the ▁option " ▁ ▁for ▁Employee ▁stock ▁options ▁( note ▁the ▁brackets ). ▁ ▁F ug it ▁is ▁calculated ▁as ▁" the ▁expected ▁time ▁to ▁exercise ▁of ▁American ▁options ", ▁and ▁is ▁also ▁described ▁as ▁the ▁" ris k - neut ral ▁expected ▁life ▁of ▁the ▁option " ▁ ▁The ▁computation ▁requires ▁a ▁bin omial ▁tree ▁— ▁although ▁a ▁Fin ite ▁difference ▁approach ▁would ▁also ▁apply ▁— ▁where , ▁a ▁second ▁quantity , ▁additional ▁to ▁option ▁price , ▁is ▁required ▁at ▁each ▁node ▁of ▁the ▁tree ; ▁see ▁method ology ▁aside . ▁Note ▁that ▁fug it ▁is ▁not ▁always ▁a ▁unique ▁value . ▁ ▁N ass im ▁T ale b ▁propos es ▁a ▁" rho ▁f ud ge ", ▁as ▁a ▁“ short cut ▁method ... ▁ ▁to ▁find ▁the ▁right ▁duration ▁( i . e ., ▁expected ▁time ▁to ▁term ination ) ▁for ▁an ▁American ▁option ”. ▁T ale b ▁terms ▁this ▁result ▁“ Omega ” ▁as ▁opposed ▁to ▁fug it . ▁The ▁formula ▁is ▁ ▁Om ega ▁= ▁Nom inal ▁D uration ▁x ▁( R ho 2 ▁of ▁an ▁American ▁option ▁/ ▁R ho 2 ▁of ▁a ▁European ▁option ). ▁Here , ▁R ho 2 ▁refers ▁to ▁sens itivity