Henrard, Marc (2006): TIPS Options in the Jarrow-Yildirim model. Published in: Risk , Vol. 16(2), No. March 2006 (March 2006): pp. 82-83.
Download (120Kb) | Preview
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.
|Item Type:||MPRA Paper|
|Institution:||Bank for International Settlements|
|Original Title:||TIPS Options in the Jarrow-Yildirim model|
|Keywords:||Inflation bond option; Jarrow-Yildirim model|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G13 - Contingent Pricing; Futures Pricing
E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E31 - Price Level; Inflation; Deflation
E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E43 - Interest Rates: Determination, Term Structure, and Effects
|Depositing User:||Marc Henrard|
|Date Deposited:||11. Jan 2007|
|Last Modified:||11. Feb 2013 20:35|
Belgrade, N., Benhamou, E., and Koehler, E. (2004). A market model for inflation. Technical report, CDS Ixis-CM.
Deacon, M., Derry, A., and Mirfendereski, D. (2004). Inflation-indexed securities: Bonds, Swaps and Other Derivatives. Finance Series. Wiley.
Henrard, M. (2003). Explicit bond option and swaption formula in Heath-Jarrow-Morton one-factor model. International Journal of Theoretical and Applied Finance, 6(1):57--72.
Henrard, M. (2004). Overnight indexed swaps and floored compounded instrument in HJM one-factor model. Ewp-fin 0402008, Economics Working Paper Archive.
Henrard, M. (2006). A semi-explicit approach to Canary swaptions in HJM one-factor model. Applied Mathematical Finance. 13(1):1-18, March 2006.
Hull, J. and White, A. (1990). Pricing interest rate derivatives securities. The Review of Financial Studies, 3:573-592.
Jarrow, R. and Yildirim, Y. (2003). Pricing Treasury Inflation Protected Securities and related derivatives using an hjm model. Journal of Financial and Quantitative Analysis, 38(2):337--359.
Mercurio, F. (2005). Pricing inflation-indexed securities. Quantitative Finance, 5(3):289--302.
Nielsen, L.T. (1999). Pricing and hedging of derivative securities. Oxford University Press.