Eurodollar futures and options: convexity adjustment in HJM one- factor model

Marc Henrard ()

Finance from EconWPA

Abstract: In this note we give pricing formulas for different instruments linked to rate futures (euro-dollar futures). We provide the future price including the convexity adjustment and the exact dates. Based on that result we price options on futures, including the mid-curve options.

Keywords: Interest rate futures; options on futures; HJM; one factor model. (search for similar items in EconPapers)
JEL-codes: G13 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin
Date: 2005-03-07
Note: Type of Document - pdf; pages: 6. Draft, all comments welcome.
View list of references View citations in EconPapers

Downloads: (external link)
http://129.3.20.41/eps/fin/papers/0503/0503005.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpfi:0503005

Access Statistics for this paper

More papers in Finance from EconWPA
Series data maintained by EconWPA ().