IDEAS home Printed from https://ideas.repec.org/a/kap/rqfnac/v10y1998i1p5-19.html
   My bibliography  Save this article

A Unified Approach for Pricing Contingent Claims on Multiple Term Structures

Author

Listed:
  • Jarrow, Robert A
  • Turnbull, Stuart M

Abstract

This 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

Suggested Citation

  • Jarrow, Robert A & Turnbull, Stuart M, 1998. "A Unified Approach for Pricing Contingent Claims on Multiple Term Structures," Review of Quantitative Finance and Accounting, Springer, vol. 10(1), pages 5-19, January.
  • Handle: RePEc:kap:rqfnac:v:10:y:1998:i:1:p:5-19
    as

    Download full text from publisher

    File URL: http://journals.kluweronline.com/issn/0924-865X/contents
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Scholes, Myron & Williams, Joseph, 1977. "Estimating betas from nonsynchronous data," Journal of Financial Economics, Elsevier, vol. 5(3), pages 309-327, December.
    2. Lawrence Fisher, 1959. "Determinants of Risk Premiums on Corporate Bonds," Journal of Political Economy, University of Chicago Press, vol. 67, pages 217-217.
    3. Bradley, Michael & Jarrell, Gregg A & Kim, E Han, 1984. " On the Existence of an Optimal Capital Structure: Theory and Evidence," Journal of Finance, American Finance Association, vol. 39(3), pages 857-878, July.
    4. repec:bla:joares:v:6:y:1968:i::p:67-92 is not listed on IDEAS
    5. Kothari, S. P., 2001. "Capital markets research in accounting," Journal of Accounting and Economics, Elsevier, vol. 31(1-3), pages 105-231, September.
    6. William Kinney, 2002. "Earnings Surprise "Materiality" as Measured by Stock Returns," Journal of Accounting Research, Wiley Blackwell, vol. 40(5), pages 1297-1329, December.
    7. Wayne R. Landsman, 2002. "Has the Information Content of Quarterly Earnings Announcements Declined in the Past Three Decades?," Journal of Accounting Research, Wiley Blackwell, vol. 40(3), pages 797-808, June.
    8. repec:bla:joares:v:6:y:1968:i:2:p:159-178 is not listed on IDEAS
    9. Holthausen, Robert W. & Leftwich, Richard W., 1986. "The effect of bond rating changes on common stock prices," Journal of Financial Economics, Elsevier, vol. 17(1), pages 57-89, September.
    10. Ilia D. Dichev, 2001. "The Long-Run Stock Returns Following Bond Ratings Changes," Journal of Finance, American Finance Association, vol. 56(1), pages 173-203, February.
    11. Collins, Daniel W. & Kothari, S. P., 1989. "An analysis of intertemporal and cross-sectional determinants of earnings response coefficients," Journal of Accounting and Economics, Elsevier, vol. 11(2-3), pages 143-181, July.
    12. Ederington, Louis H. & Goh, Jeremy C., 1998. "Bond Rating Agencies and Stock Analysts: Who Knows What When?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(04), pages 569-585, December.
    13. Maher, John J, 1996. "Perceptions of Postretirement Benefit Obligations by Bond Rating Analysts," Review of Quantitative Finance and Accounting, Springer, vol. 6(1), pages 79-94, January.
    14. Imhoff, Eugene Jr., 1992. "The relation between perceived accounting quality and economic characteristics of the firm," Journal of Accounting and Public Policy, Elsevier, vol. 11(2), pages 97-118.
    15. Lamy, Robert E. & Thompson, G. Rodney, 1988. "Risk premia and the pricing of primary issue bonds," Journal of Banking & Finance, Elsevier, vol. 12(4), pages 585-601, December.
    16. DeFond, Mark L. & Park, Chul W., 1997. "Smoothing income in anticipation of future earnings," Journal of Accounting and Economics, Elsevier, vol. 23(2), pages 115-139, July.
    17. repec:bla:joares:v:37:y:1999:i:1:p:57-81 is not listed on IDEAS
    18. Pinches, George E & Mingo, Kent A, 1973. "A Multivariate Analysis of Industrial Bond Ratings," Journal of Finance, American Finance Association, vol. 28(1), pages 1-18, March.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. 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.
    2. Robert A. Jarrow, 2009. "The Term Structure of Interest Rates," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 69-96, November.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:rqfnac:v:10:y:1998:i:1:p:5-19. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: http://springer.com .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.