Pedersen was told by Allardyce that he would not be getting a new deal earlier in the season but the Dane was hoping that Lee would think differently and decide to keep him on.
However, Lee has decided to let him go and a return to Denmark for the versatile player looks to be on the cards.
Meanwhile, Fortune has been plagued by injuries since arriving on a free transfer last summer and only figured in a handful of games, while Thompson failed to impress when arriving from Portsmouth on a short-term deal in January.
Wanderers have however offered a new deal to Tal Ben Haim but the player looks certain to move on with Tottenham, Chelsea and Newcastle all known to be keen.