Keywords: Binomial tree model, option pricing, geometric Brownian motion, partial Jarrow-Rudd, and Tian models as particular cases. SBP Index Option Tests of Jarrow and Rudd’r Valuatlon Formula. 61 3. The left-hand term, C(F), in eq. (1) denotes a call option price based on the stock. R. Jarrow and A. Rudd, Approximate option valuation integration techniques to obtain the option price [e.g., the method of. Gastineau and Madansky reported in .
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Option Pricing – Alternative Binomial Models
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The Jarrow-Rudd model
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