Pricing Eurodollar Futures Options with the Heath?Jarrow?Morton Model

Nusret Cakici; Jintao Zhu

doi:10.1002/fut.1703

Pricing Eurodollar Futures Options with the Heath?Jarrow?Morton Model

Journal of Futures Markets ◽

10.1002/fut.1703 ◽

2001 ◽

Vol 21 (7) ◽

pp. 655-680 ◽

Cited By ~ 9

Author(s):

Nusret Cakici ◽

Jintao Zhu

Keyword(s):

Futures Options ◽

Eurodollar Futures ◽

Eurodollar Futures Options

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Empirical performance of multifactor term structure models for pricing and hedging Eurodollar futures options

Review of Financial Economics ◽

10.1016/j.rfe.2007.12.001 ◽

2009 ◽

Vol 18 (1) ◽

pp. 23-32

Author(s):

I-Doun Kuo ◽

Yueh-Neng Lin

Keyword(s):

Term Structure ◽

Futures Options ◽

Term Structure Models ◽

Eurodollar Futures ◽

Empirical Performance ◽

Eurodollar Futures Options

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Pricing Eurodollar futures options using the BDT term structure model: The effect of yield curve smoothing

Journal of Futures Markets ◽

10.1002/(sici)1096-9934(200003)20:3<293::aid-fut5>3.0.co;2-4 ◽

2000 ◽

Vol 20 (3) ◽

pp. 293-306 ◽

Cited By ~ 2

Author(s):

Turin G. Bali ◽

Ahmet K. Karagozoglu

Keyword(s):

Term Structure ◽

Yield Curve ◽

Structure Model ◽

Term Structure Model ◽

Futures Options ◽

Curve Smoothing ◽

Eurodollar Futures ◽

Eurodollar Futures Options

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Pricing Eurodollar Futures Options with the Ho and Lee and Black, Derman, and Toy Models: An Empirical Comparison

CFA Digest ◽

10.2469/dig.v29.n4.562 ◽

1999 ◽

Vol 29 (4) ◽

pp. 30-31

Author(s):

Janet Yuen

Keyword(s):

Empirical Comparison ◽

Futures Options ◽

Eurodollar Futures ◽

Eurodollar Futures Options

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Stochastic volatility functions implicit in Eurodollar futures options

Journal of Futures Markets ◽

10.1002/(sici)1096-9934(199809)18:6<605::aid-fut1>3.0.co;2-2 ◽

1998 ◽

Vol 18 (6) ◽

pp. 605-627 ◽

Cited By ~ 1

Author(s):

Karen Bhanot

Keyword(s):

Stochastic Volatility ◽

Futures Options ◽

Eurodollar Futures ◽

Eurodollar Futures Options

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Pricing Eurodollar futures options with the Ho and Lee and Black, Derman, and Toy models: An empirical comparison

Journal of Futures Markets ◽

10.1002/(sici)1096-9934(199905)19:3<291::aid-fut3>3.0.co;2-k ◽

1999 ◽

Vol 19 (3) ◽

pp. 291-306 ◽

Cited By ~ 2

Author(s):

Roswell E. Mathis ◽

Gerald O. Bierwag

Keyword(s):

Empirical Comparison ◽

Futures Options ◽

Eurodollar Futures ◽

Eurodollar Futures Options

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Variance Bounds Test of Volatility Expectations in Eurodollar Futures Options Markets

GLOBAL BUSINESS & FINANCE REVIEW ◽

10.17549/gbfr.2019.24.2.20 ◽

2019 ◽

Vol 24 (2) ◽

pp. 20-32

Author(s):

Kwanho Kim ◽

Wantanee Poonvoralak

Keyword(s):

Options Markets ◽

Variance Bounds ◽

Futures Options ◽

Eurodollar Futures ◽

Bounds Test ◽

Eurodollar Futures Options

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A test of the beta model on Eurodollar futures options

Quantitative Finance ◽

10.1080/14697680601059924 ◽

2007 ◽

Vol 7 (5) ◽

pp. 497-505 ◽

Cited By ~ 1

Author(s):

Les Gulko

Keyword(s):

Futures Options ◽

Eurodollar Futures ◽

Eurodollar Futures Options

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A Simple Pricing Model for Plain-Vanilla Dividend Futures Options

SSRN Electronic Journal ◽

10.2139/ssrn.3397898 ◽

2019 ◽

Author(s):

Ghislain Vong

Keyword(s):

Pricing Model ◽

Futures Options

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Eurodollar Futures and Options: Convexity Adjustment in HJM One-Factor Model

SSRN Electronic Journal ◽

10.2139/ssrn.682343 ◽

2005 ◽

Cited By ~ 14

Author(s):

Marc P. A. Henrard

Keyword(s):

Factor Model ◽

Eurodollar Futures ◽

Futures And Options ◽

Convexity Adjustment

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Eurodollar Futures Convexity Adjustments in Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.610223 ◽

2004 ◽

Cited By ~ 6

Author(s):

Vladimir Piterbarg ◽

Marco Antonio Renedo

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Eurodollar Futures

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