Implied volatility functions for one-factor and two-factor Heath, Jarrow and Morton models
This study tests the ability of three one-factor, and three two-factor models in the HJM class, to explain the pricing of the Eurodollar futures options on the Chicago Mercantile Exchange from 1 January 96 to 31 December 98. The work extends the paper of Amin and Morton (1994) by introducing two-fac...
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University of Manchester
2002
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.633435 |