Economics at your fingertips  

Pricing Eurodollar futures options with the Ho and Lee and Black, Derman, and Toy models: An empirical comparison

Roswell E. Mathis and Gerald O. Bierwag

Journal of Futures Markets, 1999, vol. 19, issue 3, 291-306

Abstract: This article compares empirically the 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‐the‐money put options over the period studied. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 291–306, 1999

Date: 1999
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)

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:

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().

Page updated 2019-04-05
Handle: RePEc:wly:jfutmk:v:19:y:1999:i:3:p:291-306