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Inflation bond option pricing in Jarrow-Yildirim model

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Author Info

  • 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.

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File URL: http://128.118.178.162/eps/fin/papers/0510/0510027.pdf
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Bibliographic 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://128.118.178.162

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Keywords: Inflation bond option; Jarrow-Yildirim model;

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References

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  1. Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-92.
  2. Marc Henrard, 2003. "Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model," Finance 0310009, EconWPA.
  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.
  4. Henrard Marc, 2003. "A semi-analytical approach to Canary swaptions in HJM one-factor model," Finance 0310008, EconWPA, revised 25 Nov 2004.
  5. Nielsen, Lars Tyge, 1999. "Pricing and Hedging of Derivative Securities," OUP Catalogue, Oxford University Press, number 9780198776192.
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