A Unified Approach for Pricing Contingent Claims on Multiple Term Structures

Robert Jarrow () and Stuart M Turnbull

Review of Quantitative Finance and Accounting, 1998, vol. 10, issue 1, 5-19

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

Date: 1998
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