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

C-Tier

Journal: Journal of Futures Markets

Year: 1996

Volume: 16

Issue: 6

Pages: 611-629

Authors (2)

Charles J. Corrado Tie Su (not in RePEc)

Score contribution per author:

0.505 = (α=2.02 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count