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.

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.

• Item Type: MPRA Paper
• Institution: Bank for International Settlements
• Language: English
• 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 - Determination of Interest Rates; Term Structure of Interest Rates

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