Ho and Lee (1986) and Black, Derman, and Toy (1990) discrete-time debt option pricing models in the pricing of Eurodollar futures options over the period from March 1997 through February 1998 using daily data. The results indicate that both models performed well. The average absolute pricing errors
An empirical test of the Hull-White option pricing model
β Scribed by Corrado, Charles; Su, Tie
- Publisher
- John Wiley and Sons
- Year
- 1998
- Tongue
- English
- Weight
- 222 KB
- Volume
- 18
- Category
- Article
- ISSN
- 0270-7314
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