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Inflation bond option pricing in Jarrow-Yildirim model

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Author Info
Marc Henrard (Bank for International Settlements)

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Abstract

Based on Jarrow-Yildirim model for inflation derivatives, this note propose an explicit formula for option on inflation bonds. The formula is similar to the one for coupon-bond option in the HJM model.

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File URL: http://129.3.20.41/eps/fin/papers/0510/0510027.pdf
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Publisher Info
Paper provided by EconWPA in its series Finance with number 0510027.

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Length: 4 pages
Date of creation: 24 Oct 2005
Date of revision:
Handle: RePEc:wpa:wuwpfi:0510027

Note: Type of Document - pdf; pages: 4. Draft, comments welcome
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Web page: http://129.3.20.41

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

Find related papers by JEL classification:
G - Financial Economics

This paper has been announced in the following NEP Reports:

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. 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)
  2. Henrard Marc, 2003. "A semi-analytical approach to Canary swaptions in HJM one-factor model," Finance 0310008, EconWPA, revised 25 Nov 2004. [Downloadable!]
  3. 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. [Downloadable!]
  4. Marc Henrard, 2003. "Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model," Finance 0310009, EconWPA. [Downloadable!]
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This page was last updated on 2009-11-17.

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