S&P 500 index option tests of Jarrow and Rudd's approximate option valuation formula
Year of publication: |
1996
|
---|---|
Authors: | Corrado, Charles Joseph |
Other Persons: | Su, Tie (contributor) |
Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 16.1996, 6, p. 611-629
|
Subject: | Optionspreistheorie | Option pricing theory | Index-Futures | Index futures | Theorie | Theory | USA | United States | 1990 |
-
Post-'87 crash fears in S&P 500 futures options
Bates, David S., (1997)
-
The quality of market volatility forecasts implied by S&P 100 index option prices
Fleming, Jeff, (1998)
-
Empirical performance of alternative option pricing models
Bakshi, Gurdip S., (1997)
- More ...
-
An empirical test of the Hull-White option pricing model
Corrado, Charles Joseph, (1998)
-
Implied volatility skews and stock return skewness and kurtosis implied by stock option prices
Corrado, Charles Joseph, (1997)
-
Official foreign exchange market intervention by the industrialized countries in the 1970's
Corrado, Charles Joseph, (1985)
- More ...