Jarrow, R. and Turnbull, S. () Pricing Derivatives on Financial Securities Subject to Credit Risk. Journal of Finance, 50, By Robert Jarrow and Stuart M Turnbull; Abstract: This article provides a new methodology for pricing and hedging derivative Journal of Finance, , vol. The model is based on Jarrow and Turnbull (), with the bankruptcy process following a discrete state space Markov chain in credit ratings. The parameters.
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