Using Eurodollar futures options: gauging the market's view of interest rate movements
PA Abken - Economic Review-Federal Reserve Bank of …, 1995 - search.proquest.com
The Eurodollar futures options traded at the Chicago Mercantile Exchange and how the
implied skewness of interest rates can be inferred from these options are examined. The …
implied skewness of interest rates can be inferred from these options are examined. The …
[BOOK][B] The volatility of interest rates
MS Kim - 1997 - search.proquest.com
We found that the forward rate volatility structure built from Eurodollar futures trading data
has a hump. However, few studies have contributed to developing theoretical models as to …
has a hump. However, few studies have contributed to developing theoretical models as to …