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A generalization of the Brennan-Rubinstein approach for the pricing of derivatives

Câmara, António - In: The journal of finance : the journal of the American … 58 (2003) 2, pp. 805-819

Persistent link: https://www.econbiz.de/10001750603

An extended set of risk neutral valuation relationships for the pricing of contingent claims

Câmara, António - In: Review of derivatives research 3 (1999) 1, pp. 67-83

Persistent link: https://www.econbiz.de/10001445809

Two counters of jumps

Câmara, António - In: Journal of banking & finance 33 (2009) 3, pp. 456-463

Persistent link: https://www.econbiz.de/10003807620

The valuation of options with restrictions on preferences and distributions

Câmara, António - In: The journal of futures markets 21 (2001) 12, pp. 1091-1117

Persistent link: https://www.econbiz.de/10001620297

Option prices sustained by risk-preferences

Câmara, António - In: The journal of business : B 78 (2005) 5, pp. 1683-1708

Persistent link: https://www.econbiz.de/10003232488

A comparative study of the probability of default for global financial firms

Câmara, António; Popova, Ivilina; Simkins, Betty J. - In: Journal of banking & finance 36 (2012) 3, pp. 717-732

Persistent link: https://www.econbiz.de/10009540501

Option pricing for the transformed-binomial class

Câmara, António; Chung, San-Lin - In: The journal of futures markets 26 (2006) 8, pp. 759-787

Persistent link: https://www.econbiz.de/10003353584

Closed-form option pricing formulas with extreme events

Câmara, António; Heston, Steven L. - In: The journal of futures markets 28 (2008) 3, pp. 213-230

Persistent link: https://www.econbiz.de/10003699314

Bank Asset Structure and Deposit Insurance Pricing

Câmara, António; Davidson, Travis; Fodor, Andy - 2022

We model deposit insurance as a European put option on the value of the bank in which bank assets follow a displaced lognormal diffusion process. We derive closed-form solutions for the value of the bank for bank equity holders, depositors, and the deposit insurer under three deposit insurance...

Persistent link: https://www.econbiz.de/10013291562

European financial market dependence : an industry analysis

Bartram, Söhnke M.; Wang, Yaw-Huei - In: Journal of banking & finance 59 (2015), pp. 146-163

Persistent link: https://www.econbiz.de/10011544416