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TIPS Options in the Jarrow-Yildirim model

  • Henrard, Marc

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.

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File URL: https://mpra.ub.uni-muenchen.de/1423/1/MPRA_paper_1423.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 1423.

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Date of creation: 10 Jan 2006
Date of revision:
Publication status: Published in Risk March 2006.16(2)(2006): pp. 82-83
Handle: RePEc:pra:mprapa:1423
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  1. ., 2004. "K," Chapters, in: An Eponymous Dictionary of Economics, chapter 11 Edward Elgar.
  2. 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).
  3. 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.
  4. 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.
  5. Marc Henrard, 2003. "Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model," Finance 0310009, EconWPA.
  6. Nielsen, Lars Tyge, 1999. "Pricing and Hedging of Derivative Securities," OUP Catalogue, Oxford University Press, number 9780198776192.
  7. ., 2004. "M," Chapters, in: An Eponymous Dictionary of Economics, chapter 13 Edward Elgar.
  8. Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-92.
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