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TIPS Options in the Jarrow-Yildirim model

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  • Henrard, Marc

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.

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File URL: http://mpra.ub.uni-muenchen.de/1423/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 1423.

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Date of creation: 10 Jan 2006
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Publication status: Published in Risk March 2006.16(2)(2006): pp. 82-83
Handle: RePEc:pra:mprapa:1423

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Keywords: Inflation bond option; Jarrow-Yildirim model;

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  1. Marc Henrard, 2003. "Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model," Finance 0310009, EconWPA.
  2. Nielsen, Lars Tyge, 1999. "Pricing and Hedging of Derivative Securities," OUP Catalogue, Oxford University Press, number 9780198776192.
  3. Nabyl Belgrade & Eric Benhamou & Etienne Koehler, 2004. "A market model for inflation," Cahiers de la Maison des Sciences Economiques b04050, Université Panthéon-Sorbonne (Paris 1).
  4. Marc Henrard, 2006. "A Semi-Explicit Approach to Canary Swaptions in HJM One-Factor Model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(1), pages 1-18.
  5. Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-92.
  6. Jarrow, Robert & Yildirim, Yildiray, 2003. "Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(02), pages 337-358, June.
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