Tips Options in the Jarrow-Yildirim Model

3 Pages Posted: 24 Mar 2006

See all articles by Marc P. A. Henrard

Marc P. A. Henrard

muRisQ Advisory; OpenGamma; University College London - Department of Mathematics

Multiple version iconThere are 2 versions of this paper

Date Written: October 19, 2005

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

JEL Classification: G13, E43

Suggested Citation

Henrard, Marc P. A., Tips Options in the Jarrow-Yildirim Model (October 19, 2005). Available at SSRN: https://ssrn.com/abstract=890208 or http://dx.doi.org/10.2139/ssrn.890208

Marc P. A. Henrard (Contact Author)

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