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A test of the beta model on Eurodollar futures options 

Author: Les Gulko a
Affiliation:   a Suite 3C, Stamford, CT 06902, USA
DOI: 10.1080/14697680601059924
Publication Frequency: 8 issues per year
Published in: journal Quantitative Finance, Volume 7, Issue 5 October 2007 , pages 497 - 505
Formats available: HTML (English) : PDF (English)
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Abstract

The paper reports empirical tests of the beta model for pricing fixed-income options. The beta model resembles the Black-Scholes model with the lognormal probability distribution replaced by a beta probability distribution. The test is based on 32 817 daily prices of Eurodollar futures options and concludes that the beta model is more accurate than alternative option pricing models.
Keywords: Empirical tests; Entropy; Fixed-income options; Incomplete markets
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