Quantifying the recapitalization fund premium using option pricing techniques
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DOI: 10.1016/j.econlet.2011.11.002
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References listed on IDEAS
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Cited by:
- Anna Naszodi, 2021.
"The Single Resolution Fund and the Credit Default Swap: What Is the Coasian Fair Price of Their Insurance Services?,"
International Journal of Central Banking, International Journal of Central Banking, vol. 17(70), pages 1-36, October.
- Naszodi, Anna, 2019. "The Single Resolution Fund and the Credit Default Swap: What is the Coasian fair price of their insurance services?," MPRA Paper 96181, University Library of Munich, Germany, revised 02 Apr 2019.
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More about this item
Keywords
Banks; Resolution fund; European put option; Volatility;All these keywords.
JEL classification:
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
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