Inflation bond option pricing in Jarrow-Yildirim model

Marc Henrard ()

Finance from EconWPA

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.

Keywords: Inflation bond option; Jarrow-Yildirim model (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
Date: 2005-10-24
Note: Type of Document - pdf; pages: 4. Draft, comments welcome
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpfi:0510027

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