TIPS Options in the Jarrow-Yildirim model

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.

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Year of publication:	2006-01-10
Authors:	Henrard, Marc
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Inflation bond option \| Jarrow-Yildirim model

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Notes:	Published in Risk March 2006.16(2)(2006): pp. 82-83
Classification:	G13 - Contingent Pricing; Futures Pricing ; E31 - Price Level; Inflation; Deflation ; E43 - Determination of Interest Rates; Term Structure Interest Rates
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005621203