TIPS Options in the Jarrow-Yildirim model

Marc Henrard ()

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Inflation bond option; Jarrow-Yildirim model (search for similar items in EconPapers)
JEL-codes: E31 E43 G13 (search for similar items in EconPapers)
Date: 2006-01-10
New Economics Papers: this item is included in nep-mac
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Published in Risk March 2006.16(2)(2006): pp. 82-83

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