TIPS Options in the Jarrow-Yildirim model
AbstractAn 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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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 1423.
Date of creation: 10 Jan 2006
Date of revision:
Publication status: Published in Risk March 2006.16(2)(2006): pp. 82-83
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 - - - Interest Rates: Determination, Term Structure, and Effects
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- Marc Henrard, 2003. "Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model," Finance 0310009, EconWPA.
- 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).
- Nielsen, Lars Tyge, 1999. "Pricing and Hedging of Derivative Securities," OUP Catalogue, Oxford University Press, number 9780198776192.
- 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.
- Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-92.
- 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.
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