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

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

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Henrard Marc (BIS)

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Marc Henrard

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.

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Paper provided by EconWPA in its series Finance with number 0503005.

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Length: 6 pages
Date of creation: 07 Mar 2005
Date of revision:
Handle: RePEc:wpa:wuwpfi:0503005

Note: Type of Document - pdf; pages: 6. Draft, all comments welcome.
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Find related papers by JEL classification:
G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

This paper has been announced in the following NEP Reports:

NEP-ALL-2005-04-16 (All new papers)
NEP-FIN-2005-04-16 (Finance)

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

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. [Downloadable!] (restricted)

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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Henrard, Marc, 2007. "The irony in the derivatives discounting," MPRA Paper 3115, University Library of Munich, Germany. [Downloadable!]

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