Tips Options in the Jarrow-Yildirim Model
3 Pages Posted: 24 Mar 2006
Date Written: October 19, 2005
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: Suggested Citation