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Loan guarantee portfolios and joint loan guarantees with stochastic interest rates

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  • Chang, Chuang-Chang
  • Chung, San-Lin
  • Yu, Min-Teh

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  • Chang, Chuang-Chang & Chung, San-Lin & Yu, Min-Teh, 2006. "Loan guarantee portfolios and joint loan guarantees with stochastic interest rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(1), pages 16-35, February.
  • Handle: RePEc:eee:quaeco:v:46:y:2006:i:1:p:16-35
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    References listed on IDEAS

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    1. Dermine, Jean & Lajeri, Fatma, 2001. "Credit risk and the deposit insurance premium: a note," Journal of Economics and Business, Elsevier, vol. 53(5), pages 497-508.
    2. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters,in: Theory Of Valuation, chapter 5, pages 129-164 World Scientific Publishing Co. Pte. Ltd..
    3. Geske, Robert, 1979. "The valuation of compound options," Journal of Financial Economics, Elsevier, vol. 7(1), pages 63-81, March.
    4. Jones, E. Philip & Mason, Scott P., 1980. "Valuation of loan guarantees," Journal of Banking & Finance, Elsevier, vol. 4(1), pages 89-107, March.
    5. Van Son Lai & Michel Gendron, 1994. "On Financial Guarantee Insurance under Stochastic Interest Rates," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 19(2), pages 119-137, December.
    6. Robert C. Merton & Zvi Bodie, 1992. "On the Management of Financial Guarantees," Financial Management, Financial Management Association, vol. 21(4), Winter.
    7. 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.
    8. Johnson, Herb & Stulz, Rene, 1987. " The Pricing of Options with Default Risk," Journal of Finance, American Finance Association, vol. 42(2), pages 267-280, June.
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    Cited by:

    1. Feunou Bruno & Tafolong Ernest, 2015. "Fourier inversion formulas for multiple-asset option pricing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(5), pages 531-559, December.

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