S&P 500 index option tests of Jarrow and Rudd's approximate option valuation formula

Charles J. Corrado, Tie Su

Research output: Contribution to journalArticle

36 Citations (Scopus)
Original languageEnglish (US)
Pages (from-to)611-629
Number of pages19
JournalJournal of Futures Markets
Volume16
Issue number6
StatePublished - Dec 1 1996

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Option valuation
Index options

ASJC Scopus subject areas

  • Accounting
  • Business, Management and Accounting(all)
  • Finance
  • Economics and Econometrics

Cite this

S&P 500 index option tests of Jarrow and Rudd's approximate option valuation formula. / Corrado, Charles J.; Su, Tie.

In: Journal of Futures Markets, Vol. 16, No. 6, 01.12.1996, p. 611-629.

Research output: Contribution to journalArticle

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