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A Unified Approach for Pricing Contingent Claims on Multiple Term Structures

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  • 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
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    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. Mei-Ling Tang & Ting-Pin Wu & Ming-Chin Hung, 2022. "Optimal Pension Fund Management with Foreign Investment in a Stochastic Environment," Mathematics, MDPI, vol. 10(14), pages 1-21, July.
    3. Gourieroux, C. & Monfort, A. & Sufana, R., 2010. "International money and stock market contingent claims," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1727-1751, December.
    4. Robert A. Jarrow, 2009. "The Term Structure of Interest Rates," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 69-96, November.

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