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Inflation bond option pricing in Jarrow-Yildirim model

Author

Listed:
  • Marc Henrard

    (Bank for International Settlements)

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.

Suggested Citation

  • Marc Henrard, 2005. "Inflation bond option pricing in Jarrow-Yildirim model," Finance 0510027, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpfi:0510027
    Note: Type of Document - pdf; pages: 4. Draft, comments welcome
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0510/0510027.pdf
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    References listed on IDEAS

    as
    1. Henrard Marc, 2003. "A semi-analytical approach to Canary swaptions in HJM one-factor model," Finance 0310008, University Library of Munich, Germany, revised 25 Nov 2004.
    2. Marc Henrard, 2003. "Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model," Finance 0310009, University Library of Munich, Germany.
    3. Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," The Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-592.
    4. Robert Jarrow & Yildiray Yildirim, 2008. "Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 16, pages 349-370, World Scientific Publishing Co. Pte. Ltd..
    5. Marc Henrard, 2003. "Explicit Bond Option Formula In Heath–Jarrow–Morton One Factor Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(01), pages 57-72.
    6. Nielsen, Lars Tyge, 1999. "Pricing and Hedging of Derivative Securities," OUP Catalogue, Oxford University Press, number 9780198776192.
    7. Fabio Mercurio, 2005. "Pricing inflation-indexed derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 5(3), pages 289-302.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Inflation bond option; Jarrow-Yildirim model;

    JEL classification:

    • G - Financial Economics

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