A test of the beta model on Eurodollar futures options

DOI10.1080/14697680601059924zbMath1151.91512OpenAlexW2053239314MaRDI QIDQ5433095

Les Gulko

Publication date: 19 December 2007

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680601059924

zbMATH Keywords

entropyincomplete marketsempirical testsfixed-income options

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• The Pricing of Options and Corporate Liabilities
• A Theory of the Term Structure of Interest Rates
• THE ENTROPY THEORY OF BOND OPTION PRICING
• THE ENTROPIC MARKET HYPOTHESIS
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Unnamed Item

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