Pricing the deflation protection option in TIPS using and HJM model with inflation- and interest-rate jumps
Year of publication: |
2018
|
---|---|
Authors: | Chuang, Ming-Che ; Lin, Shih-kuei ; Chiang, Mi-Hsiu |
Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 26.2018, 2, p. 50-69
|
Subject: | Zinsstruktur | Yield curve | Deflation | Optionspreistheorie | Option pricing theory | CAPM | Derivat | Derivative |
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