Testing the Heath-Jarrow-Morton/Ho-Lee Model of Interest Rate Contingent Claims Pricing
用三年欧洲美元期货和期权日数据，通过广义矩方法检验Heath-Jarrow-Morton/Ho-Lee常波动率模型，发现模型在多数子时期被拒绝，并记录了拟合期权价格相对于市场价格的偏差。
This paper presents empirical tests of the constant volatility version of the Heath, Jarrow, and Morton model, which is also the continuous time limit of the Ho and Lee model. Using a generalized method of moments (GMM) test on three years of daily data for Eurodollar futures and futures options, the model can be rejected for most subperiods. Various biases in the fitted option prices relative to the market prices are documented through a regression study. The small sample properties and power of the GMM framework to this setting are also studied through simulations.