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Modelling factor demands with SEM and VAR: an empirical comparison

✍ Scribed by Matteo Manera

Book ID
106505907
Publisher
Springer
Year
2006
Tongue
English
Weight
372 KB
Volume
26
Category
Article
ISSN
0895-562X

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Pricing Eurodollar futures options with
Pricing Eurodollar futures options with the Ho and Lee and Black, Derman, and Toy models: An empirical comparison
✍ Mathis, Roswell E.; Bierwag, Gerald O. πŸ“‚ Article πŸ“… 1999 πŸ› John Wiley and Sons 🌐 English βš– 198 KB πŸ‘ 2 views

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