Options pricing on Eurodollar and Euroyen futures.

There is little research on the applicability of options model to options traded in the Singapore International Monetary Exchange (SIMEX). A previous study by Wong (1989) on the application of option models to the pricing of options on Eurodollar, Deustchemark and Japanese Yen Futures was limited to...

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Bibliographic Details
Main Authors: Chong, Min Keong., Chow, Gee Yeong., Ho, Elizabeth.
Other Authors: Foo, See Liang
Format: Theses and Dissertations
Language:English
Published: 2009
Subjects:
Online Access:http://hdl.handle.net/10356/20174
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Institution: Nanyang Technological University
Language: English
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Summary:There is little research on the applicability of options model to options traded in the Singapore International Monetary Exchange (SIMEX). A previous study by Wong (1989) on the application of option models to the pricing of options on Eurodollar, Deustchemark and Japanese Yen Futures was limited to a relatively short trading period (December 1987 to June 1988 ) after the start of the options market. A later study by Tan (1991) was limited to only one contract (3 months).