Abstract
In the recent years, there has been an increasing interest for hybrid structures whose payoff is based on assets belonging to different markets. Among them, derivatives with an inflation component are getting more and more popular. In this chapter, we tackle the pricing issue of a specific hybrid payoff when no smile effects are taken into account. The valuation of more general structures is to be dealt with on a case by case basis and is likely to involve numerical routines as Monte Carlo.
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© 2006 Springer-Verlag Berlin Heidelberg
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(2006). Pricing Hybrids with an Inflation Component. In: Interest Rate Models — Theory and Practice. Springer Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-34604-3_20
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DOI: https://doi.org/10.1007/978-3-540-34604-3_20
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-22149-4
Online ISBN: 978-3-540-34604-3
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