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Pricing models of foreign bond futures options under Heath-Jarrow-Morton framework

✍ Scribed by Jie-neng Ding; Dong Han


Book ID
107482546
Publisher
Chinese Electronic Periodical Services
Year
2007
Tongue
English
Weight
159 KB
Volume
11
Category
Article
ISSN
1007-6417

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Pricing Eurodollar Futures Options with
✍ Nusret Cakici; Jintao Zhu 📂 Article 📅 2001 🏛 John Wiley and Sons 🌐 English ⚖ 176 KB

## Abstract This article uses the algorithm developed by Ritchken and Sankarasubramanian (1995) to make comparisons among the Heath—Jarrow—Morton (HJM) models (Heath, Jarrow, & Morton, 1992) with different volatility structures in pricing the Eurodollar futures options. We show that the differences