Pricing Eurodollar futures options with the Ho and Lee and Black, Derman, and Toy models: an empirical comparison

Article Abstract:

The Ho and Lee, Black, Derman and Toy contingent claim pricing models are analyzed and compared as to which model is the most accurate in forecasting commodity prices. In terms of the in-the-money call options and out-of-the-money put options during the studied period, the Black, Derman and Toy model slightly outperformed the Ho and Lee model. A binomial lattice was drawn to demonstrate the differences between the two models in terms of the manner of forecasting the changes in interest rates.

Statistics, Financial futures, Eurocurrency market, Stock price forecasting

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Option-Expiration Effects in Small markets; The Spanish Stock Exchange

Article Abstract:

The effect of the expiration date on the underlying assets, trading volume, prices and level of volatility of Ibex-35 Index derivatives, and on four stock options traded in the Spanish Equity Derivatives Exchange, is analyzed.

Analysis, Evaluation, Stock exchanges, Stock options, Derivatives (Financial instruments), Lapse (Law), Spanish Equity Derivatives Exchange

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Integration and arbitrage in the Spanish financial markets: an empirical approach

Article Abstract:

The measures of arbitrage and market integration in the Spanish financial markets are examined. Discount factors and identical prices on different markets are some of the items which provide these measures.

Services, Financial markets, Arbitrage

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