Options pricing on Eurodollar and Euroyen futures.
Chong, Min Keong.
Chow, Gee Yeong.
Date of Issue1993
College of Business (Nanyang Business School)
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).
NANYANG TECHNOLOGICAL UNIVERSITY