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

Marc Henrard ()

Finance from University Library of Munich, Germany

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)
Pages: 6 pages
Date: 2005-03-07
New Economics Papers: this item is included in nep-fin
Note: Type of Document - pdf; pages: 6. Draft, all comments welcome.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://econwpa.ub.uni-muenchen.de/econ-wp/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: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0503005

Access Statistics for this paper

More papers in Finance from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ( this e-mail address is bad, please contact ).