TIPS Options in the Jarrow-Yildirim model
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.
|Date of creation:||10 Jan 2006|
|Publication status:||Published in Risk March 2006.16(2)(2006): pp. 82-83|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
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World Scientific Book Chapters,
in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 16, pages 349-370
World Scientific Publishing Co. Pte. Ltd..
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