Lin, Jyh-Horng; Hung, Wei-Ming - In: Economic Modelling 33 (2013) C, pp. 794-801
This paper proposes a framework for bank equity valuation based on a path-dependent, barrier option model. A direct implication of this framework is that bank equity will be priced as a down-and-out call option. Using this approach, we examine how bank interest margin, i.e., the spread between...