search query: @author Turnbull, S. / total: 8
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| Author: | Jarrow, R. Turnbull, S. |
| Title: | A unified approach for pricing claims on multiple term structures |
| Journal: | Review of Quantitative Finance and Accounting
1998 : JAN, VOL. 10:1, p. 5-20 |
| Index terms: | FINANCE ACCOUNTING CONTINGENT CLAIMS |
| Language: | eng |
| Abstract: | The 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. The importance of obtaining such a unified framework is twofold. First, embedding the existing models into a single framework increases the conceptual understanding by allowing the authors to identify the common structure of these models. Second, this conceptualization provides a powerful new tool useful for solving previously unsolved pricing problems. |
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