Inflation bond option pricing in Jarrow-Yildirim model
AbstractBased 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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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0510027.
Length: 4 pages
Date of creation: 24 Oct 2005
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Note: Type of Document - pdf; pages: 4. Draft, comments welcome
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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:
- NEP-ALL-2005-10-29 (All new papers)
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.:
- 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, 2003. "Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model," Finance 0310009, EconWPA.
- Nielsen, Lars Tyge, 1999. "Pricing and Hedging of Derivative Securities," OUP Catalogue, Oxford University Press, number 9780198776192.
- Henrard Marc, 2003. "A semi-analytical approach to Canary swaptions in HJM one-factor model," Finance 0310008, EconWPA, revised 25 Nov 2004.
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