A test of the beta model on Eurodollar futures options

Les Gulko

Quantitative Finance, 2007, vol. 7, issue 5, 497-505

Abstract: The paper reports empirical tests of the beta model for pricing fixed-income options. The beta model resembles the Black-Scholes model with the lognormal probability distribution replaced by a beta probability distribution. The test is based on 32 817 daily prices of Eurodollar futures options and concludes that the beta model is more accurate than alternative option pricing models.

Keywords: Empirical tests; Entropy; Fixed-income options; Incomplete markets (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1080/14697680601059924

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