This thesis analyzes and compares the valuation models of the Options on Korean Treasury Bond Futures. Although the options are interest derivatives, the compared valuation models in this thesis ignore interest uncertainty because maturity of the options is very short and when constructing the term structure to valuate the options, the uncertainty from parameter estimation rather increases.
Quadratic approximation of Barone-Adesi and Whaley is considerably accurate and efficient because this method reflects well the characteristics of the Options on Korean Treasury Bond Futures that it has a short maturity and early exercise privilege.
