Abken, Peter A.; Madan, Dilip B.; Ramamurtie, Sailesh - Federal Reserve Bank of Atlanta - 1996
This paper expands and tests the approach of Madan and Milne (1994) for pricing contingent claims as elements of a separable Hilbert space. We specialize the Hilbert space basis to the family of Hermite polynomials and use the model to price options on Eurodollar futures. Restrictions on the...