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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If you are a seller for this product, would you like to suggest updates through seller support? Examines the workings of the options market, discusses the various formulas and theories of options pricing, and explains the use of options in institutional investment. Read more Read less.
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Option Pricing – Alternative Binomial Models
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The Jarrow-Rudd model
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