Logo
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.

[thumbnail of MPRA_paper_1423.pdf]
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.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.