search query: @author Turnbull, S. / total: 8
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| Author: | Jarrow, R. Turnbull, S. |
| Title: | Pricing derivatives on financial securities subject to credit risk |
| Journal: | Journal of Finance
1995 : MAR, VOL. 33:1, p. 53-85 |
| Index terms: | FINANCE SECURITIES RISK |
| Language: | eng |
| Abstract: | This article provides a new methodology for pricing and hedging derivative securities involving credit risk. Two types of credit risk are considered. The first is where the asset underlying the derivative security may default. The second is where the writer of the derivative security may default. The authors apply the foreign currency analogy of Jarrow and Turnbull (1991) to decompose the dollar payoff from a risky security into a certain payoff and a "spot exchange rate". |
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