Hello,is there any recommended model to price American-style options on Interest Rate Futures?Thanks for the help,Quentin

Have you seen many American-style options on Interest Rate Futures in practice? Anyways, SABR is what I like...

Eurodollar options are American style ... I think practically Black is used

if they are futures then they are exchange traded, no? if they are exchanged traded, you have daily margining and you get interest on that. you can then treat them like european options, no? yes! yah yah yah! zis must be ze truth.

i think he is interested in futures options and not just futures. gmike2000, you need to make the distinction between an option on an underlying and the underlying itself. please refer to any textbook on market finance if you are confusedabout this fundamental point. now it is true that there exist futures options that are themselves margined and it is the case then that there is no extra american premium and that the option can be valued as a european. there is some old papers on this by some CME dudes, when they introduced this kind of options on the merc.however, this is not necessarily the case, the details for which need to be checked with the exchange. what one should use then is not a closed question. you could use black76 with some adjustments, but you could also resort to a more sophisticated model, depends on what you want to do, who you want to beat, etc... QuoteOriginally posted by: Gmike2000if they are futures then they are exchange traded, no? if they are exchanged traded, you have daily margining and you get interest on that. you can then treat them like european options, no? yes! yah yah yah! zis must be ze truth.

So they are, Dave, so they are... I was thinking mostly about LIFFE ones, which are American in name, but European in spirit, as gmike pointed out. I use SABR for those, Black for eurodollars, but I try to stay away from the latter...

Thanks for the advice, Black and SABR are indeed the most currently used. Perhaps will we also try H&W.