1

You can consider the CPI index like a stock, and treat the floor like a put option. You can measure the historical volatility of this index by looking at the monthly data. In the case of the US, we are talking about the non seasonally adjusted CPI index CPURNSA. You should find historical volatility around 2pct per annum, and like many markets I think the ...


Only top voted, non community-wiki answers of a minimum length are eligible