Eurodollar Futures and Options: Convexity Adjustment in HJM One-Factor Model
6 Pages Posted: 3 Apr 2005
Date Written: March 9, 2005
In this note we give pricing formulas for different instruments linked to rate futures (euro-dollar futures). We provide the future price including the convexity adjustment and the exact dates. Based on that result we price options on futures, including the mid-curve options.
Keywords: Interest rate futures, options on futures, convexity adjustment, HJM one-factor model.
JEL Classification: G13, E43
Suggested Citation: Suggested Citation