Munich Personal RePEc Archive

TIPS Options in the Jarrow-Yildirim model

Henrard, Marc (2006): TIPS Options in the Jarrow-Yildirim model. Published in: Risk , Vol. 16(2), No. March 2006 (March 2006): pp. 82-83.

[img]
Preview
PDF
MPRA_paper_1423.pdf

Download (123kB) | Preview

Abstract

An explicit pricing formula for inflation bond options is proposed in the Jarrow-Yildirim model. The formula resembles that for coupon bond options in the HJM model.

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.