Options pricing on Eurodollar and Euroyen futures.

• Main Authors: Chong, Min Keong., Chow, Gee Yeong., Ho, Elizabeth.
• Other Authors: Foo, See Liang
• Format: Theses and Dissertations
• Language: English
• Published: 2009
• Subjects: DRNTU::Business::Finance::Options
• Online Access: http://hdl.handle.net/10356/20174
• Institution: Nanyang Technological University

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...