Have large banks become riskier? recent evidence from option markets
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Volume (Year): (1991)
Issue (Month): Fall ()
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- Schwert, G William, 1990.
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- Barone-Adesi, Giovanni & Whaley, Robert E, 1987. " Efficient Analytic Approximation of American Option Values," Journal of Finance, American Finance Association, vol. 42(2), pages 301-320, June.
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- Kathleen A. Kuester & James M. O'Brien, 1991. "Market-based deposit insurance premiums: an evaluation," Finance and Economics Discussion Series 150, Board of Governors of the Federal Reserve System (U.S.).
- Day, Theodore E. & Lewis, Craig M., 1988. "The behavior of the volatility implicit in the prices of stock index options," Journal of Financial Economics, Elsevier, vol. 22(1), pages 103-122, October.
- Carolin D. Schellhorn & Lewis J. Spellman, 1991. "Subordinated debt market information and the pricing of deposit insurance," Proceedings 327, Federal Reserve Bank of Chicago.
- Frederick T. Furlong, 1988. "Changes in bank risk," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue mar25.
- Kendall, Sarah B. & Levonian, Mark E., 1991. "A simple approach to better deposit insurance pricing," Journal of Banking & Finance, Elsevier, vol. 15(4-5), pages 999-1018, September.
- Smith, Clifford Jr., 1976. "Option pricing : A review," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 3-51.
- Ronn, Ehud I & Verma, Avinash K, 1986. " Pricing Risk-Adjusted Deposit Insurance: An Option-Based Model," Journal of Finance, American Finance Association, vol. 41(4), pages 871-895, September.
- Latane, Henry A & Rendleman, Richard J, Jr, 1976. "Standard Deviations of Stock Price Ratios Implied in Option Prices," Journal of Finance, American Finance Association, vol. 31(2), pages 369-381, May.
- Jonathan A. Neuberger, 1991. "Risk and return in banking: evidence from bank stock returns," Economic Review, Federal Reserve Bank of San Francisco, issue Fall, pages 18-30.
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