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

Journal of Futures Markets

Volumn 16, Issue 6, 1996, Pages 611-629

  Corrado, Charles J ^a   Su, Tie ^b  

^a UNIVERSITY OF MISSOURI   (United States)

^b UNIVERSITY OF MIAMI   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0002605024     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/(sici)1096-9934(199609)16:6<611::aid-fut1>3.0.co;2-i     Document Type: Article

References (15)

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15. Whaley, R.E. (1982): "Valuation of American Call Options on Dividend Paying Stocks," Journal of Financial Economics, 10:29-58.