Eurodollar futures pricing in log-normal interest rate models in discrete time
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Publication:4585685
DOI10.1080/1350486X.2017.1297727zbMATH Open1396.91783MaRDI QIDQ4585685FDOQ4585685
Authors: Dan Pirjol 
Publication date: 6 September 2018
Published in: Applied Mathematical Finance (Search for Journal in Brave)
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- A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures
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Cited In (6)
- On Gaussian HJM framework for Eurodollar futures
- A test of the beta model on Eurodollar futures options
- Convexity bias in Eurodollar futures prices: A dimension-free HJM criterion
- Explosive behavior in the Black-Derman-Toy model
- Convexity bias in the pricing of Eurodollar swaps
- Growth rate of a stochastic growth process driven by an exponential Ornstein–Uhlenbeck process
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