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Cost Of Insurance: A Note On Put Valuation Under A Constraint

Author

Listed:
  • José Antonio Núñez Mora

    (Tecnológico de Monterrey, Campus Ciudad de México)

Abstract

En el acuerdo de un préstamo puede existir la garantía gubernamental para los bancos, El que exista una garantía crea un costo para el asegurado. La elevación de este costo se ha llevado a cabo con la teoría de valuación de opciones (Merton (1977)). En este artículo hemos agregado una partición más específica de los pasivos del banco y una restricción. La existencia de la partición y la restricción nos permite deducir una posible modificación del costo de aseguramiento. Esto se hace en Karatzas y Shreve (1998) V Karatzas y Kou (1996).

Suggested Citation

  • José Antonio Núñez Mora, 2005. "Cost Of Insurance: A Note On Put Valuation Under A Constraint," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 4(3), pages 205-209, Septiembr.
    • Handle: RePEc:imx:journl:v:4:y:2005:i:3:p:205-209
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    File URL: http://www.remef.org.mx/index.php/primera/article/view/203
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    More about this item

    Keywords

    Cost of Insurance; Rectangular Constraint; Support Function;
    All these keywords.

    JEL classification:

    • G0 - Financial Economics - - General
    • N2 - Economic History - - Financial Markets and Institutions

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