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A Unified Approach for Pricing Contingent Claims on Multiple Term Structures |
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| Authors: | Jarrow Robert Turnbull Stuart |
| Institution: | (1) Johnson Graduate School of Management, Cornell University, Ithaca, New York, 14853;(2) Kamakura Corporation, Chigasaki, Japan;(3) School of Business, Queen's University, Kingston, K7L 3N6, Canada;(4) Institute for Policy Analysis, Toronto, Canada |
| 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. |
| Keywords: | Derivatives contingent claims credit risk multiple term structure models foreign corrency analogy commodity options equity options |
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