TIPS Options in the Jarrow-Yildirim model
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References listed on IDEAS
- Marc Henrard, 2003. "Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model," Finance 0310009, EconWPA.
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- Robert Jarrow & Yildiray Yildirim, 2008.
"Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model,"
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World Scientific Publishing Co. Pte. Ltd..
- 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.
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More about this item
KeywordsInflation bond option; Jarrow-Yildirim model;
- 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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