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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/121275

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Title:	Pricing the Deflation Protection Option in TIPS using a HJM Model with Inflation- and Interest-Rate Jumps
Authors:	Chuang, Ming-Che 林士貴 Lin, Shih-Kuei 江彌修 Chiang, Mi-Hsiu
Contributors:	金融系
Date:	2018-12
Issue Date:	2018-12-07 17:34:13 (UTC+8)
Abstract:	Much known about Treasury inflation-protected securities (TIPS) is related to the hedge they offer against inflation, but little is known about their protection against deflation—in the form of a deflation protection option (DPO). In this article, a pricing framework that builds on a Heath–Jarrow–Morton forward-rate economy with codependent inflation- and interest-rate jumps is derived to value this embedded DPO. The model prices for TIPS resulting from this pricing framework are found to most closely fit the 10-year notes issued following the 2008 crisis. Considering these notes accounted for over 70% of the total TIPS-market trading activity, this result underscores the importance of properly assessing DPO value in times of deflationary fears compounded by rising real yields, negligence of which may well be liable for the post-crisis mispricing in TIPS.
Relation:	The Journal of Derivatives , Winter 2018, jod.2018.1.069
Data Type:	article
DOI 連結:	https://doi.org/10.3905/jod.2018.1.069
Appears in Collections:	[金融學系] 期刊論文

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