Tips Options in the Jarrow-Yildirim Model
Risk, Vol. 19, No. 3, pp. 82-83, March 2006
Posted: 23 Mar 2006
Marc Henrard proposes an explicit pricing formula for inflation bond options using the Jarrow-Yildirim model. The formula resembles that for coupon bond options in the Heath-Jarrow-Morton model.
Keywords: Inflation bond option, Jarrow-Yildirim model
JEL Classification: G13, E43
Suggested Citation: Suggested Citation