Inflation breakeven in the Jarrow and Yildirim model and resulting pricing formulas (Q5746756): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
ReferenceBot (talk | contribs) Changed an Item |
||
| (One intermediate revision by one other user not shown) | |||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1080/14697688.2010.503711 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2139004141 / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Co-Integration and Error Correction: Representation, Estimation, and Testing / rank | |||
Normal rank | |||
Latest revision as of 07:54, 7 July 2024
scientific article; zbMATH DE number 6256470
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Inflation breakeven in the Jarrow and Yildirim model and resulting pricing formulas |
scientific article; zbMATH DE number 6256470 |
Statements
Inflation breakeven in the Jarrow and Yildirim model and resulting pricing formulas (English)
0 references
8 February 2014
0 references
inflation-indexed derivatives
0 references
Jarrow-Yildirim model
0 references
implied volatility
0 references
calibration
0 references
inflation risk premium
0 references
