which follow diffusion processes are assumed and the instantaneous interest rate, r Cy,), and the spot price, Sot,) are determined. One of the state variables may be a spot price. lIf the option is American, it can be exercised on or before the expiration date. If the option is European, it can be e
Futures options with futures-style margining in the Gaussian models setting
β Scribed by Iovino, Maria Gabriella
- Book ID
- 110626613
- Publisher
- Springer
- Year
- 1997
- Weight
- 827 KB
- Volume
- 20
- Category
- Article
- ISSN
- 1127-1035
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π SIMILAR VOLUMES
he Chicago Mercantile Exchange and the Chicago Board of Trade are petitioning T the Commodity Futures Trading Commission (CFTC) to repeal a long-standing regulation requiring an investor to pay the total value of an option premium when purchasing a commodity option. Under the current "stock-style" o
## Abstract This article uses the algorithm developed by Ritchken and Sankarasubramanian (1995) to make comparisons among the HeathβJarrowβMorton (HJM) models (Heath, Jarrow, & Morton, 1992) with different volatility structures in pricing the Eurodollar futures options. We show that the differences
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