Pricing Eurodollar futures options with the Ho and Lee and Black, Derman, and Toy models: An empirical comparison
实证比较了Ho-Lee和Black-Derman-Toy两种离散时间债务期权定价模型在1997年3月至1998年2月期间对欧洲美元期货期权的定价表现，发现两者平均定价误差均小于一个最小变动价位（0.01），且Black-Derman-Toy模型在价内看涨期权和价外看跌期权上略优。
This article compares empirically the Ho and Lee (1986) and Black, Derman, and Toy (1990) discrete-time debt option pricing models in the pricing of Eurodollar futures options over the period from March 1997 through February 1998 using daily data. The results indicate that both models performed well. The average absolute pricing errors over the sample period were less than one tick (0.01) in every case. The Black, Derman, and Toy model slightly outperformed the Ho and Lee model in the pricing of in-the-money call options and out-of-the-money put options over the period studied. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 291–306, 1999