This paper examines the KTB futures price using the Hull and White two factor model, which is the no arbitrage approach by Hull and White. We test the empirical performance of the Hull and White two factor model in determining KTB futures prices and compare the performance to the Hull and White one factor model. Then we compare our empirical results with KTB futures’ market prices and investigate price differences. The results suggests that the Hull and White two factor model has advantage over one factor model in explaining historical KTB futures price behavior in the Korean capital market.