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Showing 1 to 1 of 1 for “"Eurodollar Futures Options"”.
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Efficiency and Accuracy of Alternative Implementations of No-Arbitrage Term Structure Models of the Heath-Jarrow-Morton Class
… in the Heath-Jarrow-Morton framework using Eurodollar futures options data. We estimate a daily time series of forward rates within the HJM framework such that, by construction, the predicted futures prices from our model exactly match the observed futures prices. Next, we estimate a daily …