Pricing the deflation protection option in TIPS using and HJM model with inflation- and interest-rate jumps
Ming-Che Chuang, Shih-Kuei Lin, and Mi-Hsiu Chiang
| Year of publication: |
2018
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|---|---|
| Authors: | Chuang, Ming-Che ; Lin, Shih-kuei ; Chiang, Mi-Hsiu |
| Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 26.2018, 2, p. 50-69
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| Subject: | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory | Deflation | CAPM | Inflation | Zinsderivat | Interest rate derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011968699