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TIPS Options in the Jarrow-Yildirim model

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  • Henrard, Marc

Abstract

An explicit pricing formula for inflation bond options is proposed in the Jarrow-Yildirim model. The formula resembles that for coupon bond options in the HJM model.

Suggested Citation

  • Henrard, Marc, 2006. "TIPS Options in the Jarrow-Yildirim model," MPRA Paper 1423, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:1423
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    File URL: https://mpra.ub.uni-muenchen.de/1423/1/MPRA_paper_1423.pdf
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    References listed on IDEAS

    as
    1. 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.
    2. 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..
    3. Nielsen, Lars Tyge, 1999. "Pricing and Hedging of Derivative Securities," OUP Catalogue, Oxford University Press, number 9780198776192.
    4. Nabyl Belgrade & Eric Benhamou & Etienne Koehler, 2004. "A market model for inflation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03331510, HAL.
    5. Marc Henrard, 2006. "A Semi-Explicit Approach to Canary Swaptions in HJM One-Factor Model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(1), pages 1-18.
    6. Marc Henrard, 2003. "Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model," Finance 0310009, University Library of Munich, Germany.
    7. ., 2004. "M," Chapters, in: Julio Segura & Carlos Rodríguez Braun (ed.), An Eponymous Dictionary of Economics, chapter 13, Edward Elgar Publishing.
    8. Nabyl Belgrade & Eric Benhamou & Etienne Koehler, 2004. "A market model for inflation," Post-Print halshs-03331510, HAL.
    9. ., 2004. "K," Chapters, in: Julio Segura & Carlos Rodríguez Braun (ed.), An Eponymous Dictionary of Economics, chapter 11, Edward Elgar Publishing.
    10. 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.
    11. Nabyl Belgrade & Eric Benhamou & Etienne Koehler, 2004. "A market model for inflation," Cahiers de la Maison des Sciences Economiques b04050, Université Panthéon-Sorbonne (Paris 1).
    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:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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