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Loan guarantees : an option pricing theory perspective

Pizzutilo, Fabio; Calò, Francesco - In: International journal of economics and financial issues … 5 (2015) 4, pp. 905-909

Persistent link: https://www.econbiz.de/10011455288

Mitigating risk incentives by issuing convertible bonds : a refinement to the Black-Scholes evaluation model

Miyake, Masatoshi; Yu, Mei; Inoue, Hiroshi - In: Journal of financial engineering 1 (2014) 3, pp. 1-17

Persistent link: https://www.econbiz.de/10010508012

First-order calculus and option pricing

Carr, Peter - In: Journal of financial engineering 1 (2014) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10010508100

Deriving the term structure of banking crisis risk with a compound option approach: The case of Kazakhstan

Eichler, Stefan; Karmann, Alexander; Maltritz, Dominik - 2010

We use a compound option-based structural credit risk model to infer a term structure of banking crisis risk from market data on bank stocks in daily frequency. Considering debt service payments with different maturities this term structure assigns a separate estimator for short- and long-term...