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TIPS Options in the Jarrow-Yildirim model

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Author Info
Henrard, Marc

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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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Publisher 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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Related research
Keywords: Inflation bond option Jarrow-Yildirim model

Find related papers by JEL classification:
G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. 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). [Downloadable!]
  2. Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 3(4), pages 573-92. [Downloadable!] (restricted)
  3. Marc Henrard, 2003. "Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model," Finance 0310009, EconWPA. [Downloadable!]
  4. Marc Henrard, 2006. "A Semi-Explicit Approach to Canary Swaptions in HJM One-Factor Model," Applied Mathematical Finance, Taylor and Francis Journals, vol. 13(1), pages 1-18, March. [Downloadable!] (restricted)
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This page was last updated on 2008-11-17.

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