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