Tips Options in the Jarrow-Yildirim Model

Risk, Vol. 19, No. 3, pp. 82-83, March 2006

Posted: 23 Mar 2006

See all articles by Marc P. A. Henrard

Marc P. A. Henrard

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

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Abstract

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

Henrard, Marc P. A., Tips Options in the Jarrow-Yildirim Model. Risk, Vol. 19, No. 3, pp. 82-83, March 2006. Available at SSRN: https://ssrn.com/abstract=891774

Marc P. A. Henrard (Contact Author)

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OpenGamma ( email )

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University College London - Department of Mathematics ( email )

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