Quantifying the recapitalization fund premium using option pricing techniques
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References listed on IDEAS
- Merton, Robert C., 1977. "An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory," Journal of Banking & Finance, Elsevier, vol. 1(1), pages 3-11, June.
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More about this item
KeywordsBanks; Resolution fund; European put option; Volatility;
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
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