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Pricing interest rate futures options with futures‐style margining

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  • Ren‐Raw Chen
  • Louis Scott

Abstract

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  • Ren‐Raw Chen & Louis Scott, 1993. "Pricing interest rate futures options with futures‐style margining," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 13(1), pages 15-22, February.
    • Handle: RePEc:wly:jfutmk:v:13:y:1993:i:1:p:15-22
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    Cited by:

    1. I‐Doun Kuo & Yueh‐Neng Lin, 2009. "Empirical performance of multifactor term structure models for pricing and hedging Eurodollar futures options," Review of Financial Economics, John Wiley & Sons, vol. 18(1), pages 23-32, January.
    2. Hilliard, Jimmy E. & Hilliard, Jitka, 2019. "A jump-diffusion model for pricing and hedging with margined options: An application to Brent crude oil contracts," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 137-155.
    3. Frances Shaw & Finbarr Murphy & Fergal G. O’Brien, 2016. "Jumps in Euribor and the effect of ECB monetary policy announcements," Environment Systems and Decisions, Springer, vol. 36(2), pages 142-157, June.
    4. George W. Kutner & David C. Porter & John G. Thatcher, 2001. "The Proposed Introduction Of Futures-Style Margining In The United States: An Australian Comparison," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 24(2), pages 239-259, June.
    5. Nick Gebbia, 2016. "Option-Implied Libor Rate Expectations across Currencies," International Finance Discussion Papers 1182, Board of Governors of the Federal Reserve System (U.S.).
    6. Hordahl, Peter & Tristani, Oreste & Vestin, David, 2006. "A joint econometric model of macroeconomic and term-structure dynamics," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 405-444.
    7. Fei Chen & Charles Sutcliffe, 2012. "Pricing And Hedging Short Sterling Options Using Neural Networks," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 19(2), pages 128-149, April.
    8. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    9. Damir Filipovi'c & Sander Willems, 2018. "A Term Structure Model for Dividends and Interest Rates," Papers 1803.02249, arXiv.org, revised May 2020.
    10. Martin Mandler, 2002. "Extracting Market Expectations from Option Prices: Two Case Studies in Market Perceptions of the ECB's Monetary Policy 1999/2000," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 138(II), pages 165-189, June.

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