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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.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
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. 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 2008-9-4.

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