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Pricing of Futures Options by Use of Generalised Binomial Lattice Model- An Empirical Study on the SFE

By Ramaprasad Bhar and Carl Chiarella


This paper adopts a generalised binomial lattice model framework to compare the pricing performance of a number of preference free discrete time option pricing models applied to 90-day bank bill futures options traded at the SFE. The paper also analyses the time series properties of the implied parameters and obtains one step ahead forecasts. Option prices computed using the forecast parameter values are compared with those given by the naive forecast of the same parameter

Year: 2011
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