Eurodollar futures and options: convexity adjustment in HJM one- factor model
AbstractIn 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.
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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0503005.
Length: 6 pages
Date of creation: 07 Mar 2005
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Note: Type of Document - pdf; pages: 6. Draft, all comments welcome.
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Interest rate futures; options on futures; HJM; one factor model.;
Find related papers by JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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- Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January.
- Henrard, Marc, 2007. "The irony in the derivatives discounting," MPRA Paper 3115, University Library of Munich, Germany.
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