Elsevier < Decision Sciences Publications < Handbooks in Operations Research and Management Science < Volume 9: Finance < Chapter 7

FINANCE
Edited by R.A. Jarrow, V. Maksimovic and W.T. Ziemba

CHAPTER 7
A Discrete Time Synthesis of Derivative Security Valuation Using a Term Structure of Futures Prices
P.P. Carr and R.A. Jarrow

1. Introduction*  

2. The general framework

3. Existing models

4. Implementation

5. Summary

References

* The first two pages of the chapters are available as PDF file.

 Complete chapters on ScienceDirect

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