A test of the beta model on Eurodollar futures options |
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| Authors: | Les Gulko |
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| Institution: | 1. Suite 3C , 287 Hamilton Avenue, Stamford, CT 06902, USA lesgulko@hotmail.com |
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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. |
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| Keywords: | Empirical tests Entropy Fixed-income options Incomplete markets |
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