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In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World
Jarrow, Robert A. - In: Journal of Economic Perspectives 13 (1999) 4, pp. 229-248
The Nobel Prize was given to Robert C. Merton and Myron S. Scholes for discovering a new method for determining the value of an option. This is known as the Black-Merton-Scholes option pricing formula. The purpose of this essay is to explain why the Black-Merton-Scholes option pricing formula is...
Persistent link: https://www.econbiz.de/10005560943
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An empirical analysis of the Jarrow-van Deventer model for valuing non-maturity demand deposits
Janosi, Tibor; Jarrow, Robert A.; Zullo, Ferdinando - In: The journal of derivatives : the official publication … 7 (1999) 1, pp. 8-31
Persistent link: https://www.econbiz.de/10001432461
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The Impact of Quantitative Easing on the U.S. Term Structure of Interest Rates
Jarrow, Robert A. - 2012
structure of interest rates. Different from other studies, we estimate an arbitrage-free term structure model that explicitly … arbitrage opportunities into the Treasury security markets. Short- to medium- term forward rates were reduced (less than twelve …
Persistent link: https://www.econbiz.de/10013108838