|Pricing and Hedging American Fixed-Income Derivatives with Implied Volatility Structures in the Two-Factor Heath–Jarrow–Morton Model
Most previous empirical studies using the Heath–Jarrow–Morton model (hereafter referred to as the HJM model) have focused on the one-factor model. In contrast, this study implements the Das (1999) two-factor Poisson–Gaussian version of the HJM model that incorporates a jump component as the second-state variable. This study aims at examining the performance of the two-factor model through comparing it with the one-factor model in pricing and hedging the Eurodollar futures option.
|Fixed Income Derivatives
|Heath Jarrow Morton Model
|Journal of Futures Markets
|22 (9), pp. 839-875
|Digital Object Identifier (DOI)