Buraschi, Andrea (contributor); Jiltsov, Alexei (contributor) - 1999 - [Elektronische Ressource]
·
e¡½¿U0(X¤t+¿)
U0(X¤t ) ;
p¤t
p¤t+¿
¸
andtherelationbetweenthepricesofnominal
and index-linked bonds, IL¿t, is given by
B …¿t = IL¿t ¢ Et
à p¤
t
p¤t+¿
!
+Covt
"e¡½¿U0(X¤
t+¿)
U0(X¤t) ;
p¤t
p¤t+¿
#
The closed form solution of the term structures of …¿t = AIL(¿)exp
(
¡bILv (¿)vt ¡
nX
i=1
bILzi (¿)zit
)
with
Covt
"e¡½¿U0(X¤
t+¿)
U0(X¤t) ;
p¤t
p¤t+¿
#
= B¿t ¡IL¿t ¢ Et
à p¤
t
p …