A unified approach for pricing contingent claims on multiple term structures

Review of Quantitative Finance and Accounting

Volumn 10, Issue 1, 1998, Pages 5-19

  Jarrow, Robert A ^a,b   Turnbull, Stuart M ^c,d  

^a Dyson School of Applied Economics and Management   (United States)

^b Kamakura Corporation   (United States)

^c QUEEN S UNIVERSITY   (Canada)

^d Cancer Care Ontario   (Canada)

Author keywords

Commodity options; Contingent claims; Credit risk; Derivatives; Equity options; Foreign currency analogy; Multiple term structure models

Indexed keywords

EID: 54649084995     PISSN: 0924865X     EISSN: 15737179     Source Type: Journal    
DOI: 10.1023/A:1008210812637     Document Type: Article

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