๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

A test of the beta model on Eurodollar futures options

โœ Scribed by Gulko, Les

Book ID
121273711
Publisher
Taylor and Francis Group
Year
2007
Tongue
English
Weight
201 KB
Volume
7
Category
Article
ISSN
1469-7688

No coin nor oath required. For personal study only.

๐Ÿ“œ SIMILAR VOLUMES

Transactions data tests of the black mod
Transactions data tests of the black model for soybean futures options
โœ James V. Jordan; William E. Seale; Nancy C. McCabe; David E. Kenyon ๐Ÿ“‚ Article ๐Ÿ“… 1987 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 971 KB

he Black futures option pricing model is tested on soybean futures options T using intraday transaction prices and three volatility estimation methods: historical, forecast and implied. The model performs best with implied volatility; average deviations from actual prices are one tenth of one cent p

Empirical tests of valuation models for
Empirical tests of valuation models for options on t-note and t-bond futures
โœ Nusret Cakici; Sris Chatterjee; Avner Wolf ๐Ÿ“‚ Article ๐Ÿ“… 1993 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 716 KB

If the cost-of-carry relationship holds, then (A3) is consistent with the assumption that the spot price of the underlying commodity also follows a stochastic differential equation given by: where p = a -( ra), r = riskless interest rate, and 6 represents the dividend yield (or its analog) on the s

A note on agricultural options and the v
A note on agricultural options and the variance of futures prices
โœ Nikolaos T. Milonas ๐Ÿ“‚ Article ๐Ÿ“… 1986 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 351 KB ๐Ÿ‘ 2 views

he recent introduction of options on agricultural futures has fueled a growing T research interest on issues ranging from risk-return characteristics of option hedging strategies to the valuation of commodity options. Valuation models for options on common stocks have been extensively used ever sinc