Academic Scholarship

Duration and Pricing of TIPS

Journal of Fixed Income, 18(2), 71- 84, October 2008

Photo Needed Gady Jacoby, Ph.D.
Department of Finance
Ilona Shiller

We apply risk-neutral valuation to price TIPS bonds issued by the U.S. Treasury, paying close attention to an option embedded in these bonds that guaranties that bondholders are not affected by deflation.

 
 
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