A Unified Approach for Pricing Contingent Claims on Multiple Term Structures
AbstractThis paper provides a unified approach for pricing contingent claims on multiple term structures using a foreign currency analogy. All existing option pricing applications are seen to be special cases of this unified approach. This approach is used to price options on financial securities subject to credit risk. Copyright 1998 by Kluwer Academic Publishers
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Bibliographic InfoArticle provided by Springer in its journal Review of Quantitative Finance and Accounting.
Volume (Year): 10 (1998)
Issue (Month): 1 (January)
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Web page: http://springerlink.metapress.com/link.asp?id=102990
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- Jarrow, Robert A. & Turnbull, Stuart M., 2000. "The intersection of market and credit risk," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 271-299, January.
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