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By Ehud I. Ronn

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Example text

This nonstationary trinomial model thus constitutes important evidence on intertemporal changes in the riskless term structures of interest rates.

The empirical results are reported in Table 3. TABLE 3. 0 Note: N = number of observations. C , (P,,)is the call (put) option's market price, cjt is the time value in the call (put) option's market price. T/,, (U,,) is the model's value for the call (put) option. We thus calculated the average profit for the "all calls" and "all puts" categories as well as subcategories thereof. The choice of these subcategories was dictated by the desire to demonstrate the model's performance for options with positive time value (cj, > 0 and pjt > 0), zero model value (V,, = U,, = O), and market prices exceeding an arbitrary lower bound (Cj, r 1/16, Pi, 2 1/16).

The empirical results are reported in Table 3. TABLE 3. 0 Note: N = number of observations. C , (P,,)is the call (put) option's market price, cjt is the time value in the call (put) option's market price. T/,, (U,,) is the model's value for the call (put) option. We thus calculated the average profit for the "all calls" and "all puts" categories as well as subcategories thereof. The choice of these subcategories was dictated by the desire to demonstrate the model's performance for options with positive time value (cj, > 0 and pjt > 0), zero model value (V,, = U,, = O), and market prices exceeding an arbitrary lower bound (Cj, r 1/16, Pi, 2 1/16).

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