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.
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Jarrow, R., Turnbull, S. A Unified Approach for Pricing Contingent Claims on Multiple Term Structures. Review of Quantitative Finance and Accounting 10, 5–19 (1998). https://doi.org/10.1023/A:1008210812637
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DOI: https://doi.org/10.1023/A:1008210812637