Location of Repository

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

By Ramaprasad Bhar and Carl Chiarella

Abstract

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
OAI identifier: oai:CiteSeerX.psu:10.1.1.196.8180
Provided by: CiteSeerX
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • http://citeseerx.ist.psu.edu/v... (external link)
  • http://banking.web.unsw.edu.au... (external link)
  • Suggested articles


    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.