Pricing Eurodollar Futures Options with
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Nusret Cakici; Jintao Zhu
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Article
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2001
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John Wiley and Sons
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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