In this paper we estimate the value of the embedded option in U.S. Treasury Inflation Protected Securities (TIPS). The option value exhibits significant time variation that is correlated with periods of deflationary expectations. We use our estimated option values to construct an embedded option...

In this paper we estimate the value of the embedded option in U.S. Treasury Inflation Protected Securities (TIPS). The option value exhibits significant time variation that is correlated with periods of deflationary expectations. We use our estimated option values to construct an embedded option...

In this paper we estimate the value of the embedded option in U.S. Treasury Inflation Protected Securities (TIPS). The option value exhibits significant time variation that is correlated with periods of deflationary expectations. We use our estimated option values to construct an embedded option...

We estimate the value of the embedded option in the U.S. Treasury Inflation Protected Securities (TIPS). The embedded option value exhibits time variation that is correlated with periods of deflationary expectations. We construct embedded option explanatory variables that are statistically and...

We study the SABR stochastic volatility model with the volatility-of-volatility parameter ν . We provide a method to expand the price C_SABR(S, K, ν, σ, τ ) of a European call in this model as a Taylor series in ν , C_SABR(S, K, ν, σ, τ ) = C_BS(S,K, σ, τ ) ν C₁ ν²C₂ . . . ν^kC_k O(ν<sup>k...