A Unified Approach for Pricing Contingent Claims on Multiple Term Structures

A Unified Approach for Pricing Contingent Claims on Multiple Term Structures 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Review of Quantitative Finance and Accounting Springer Journals

A Unified Approach for Pricing Contingent Claims on Multiple Term Structures

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Publisher
Springer Journals
Copyright
Copyright © 1998 by Kluwer Academic Publishers
Subject
Finance; Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory
ISSN
0924-865X
eISSN
1573-7179
D.O.I.
10.1023/A:1008210812637
Publisher site
See Article on Publisher Site

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.

Journal

Review of Quantitative Finance and AccountingSpringer Journals

Published: Oct 6, 2004

References

  • Stochastic Convenience Yield and the Pricing of Oil Contingent Claims
    Gibson, R.; Schwartz, E.
  • Term Structure Movements and Pricing Interest Rate Contingent Claims
    Ho, T.; Lee, S.

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