✦ LIBER ✦
Pricing Eurodollar futures options with the Ho and Lee and Black, Derman, and Toy models: An empirical comparison
✍ Scribed by Mathis, Roswell E.; Bierwag, Gerald O.
- Publisher
- John Wiley and Sons
- Year
- 1999
- Tongue
- English
- Weight
- 198 KB
- Volume
- 19
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
✦ Synopsis
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 over the sample period were less than one tick (0.01) in every case. The Black, Derman, and Toy model slightly outperformed the Ho and Lee model in the pricing of in-the-money call options and out-of-themoney put options over the period studied.