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FX risk-neutral valuation relationships for the S u jump-diffusion family
Câmara, Ana; Câmara, António; Popova, Ivilina; … - In: International journal of finance & economics : IJFE 16 (2011) 4, pp. 339-356
Persistent link: https://www.econbiz.de/10009508891
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A new simple square root option pricing model
Câmara, António; Wang, Yaw-huei - In: The journal of futures markets 30 (2010) 11, pp. 1007-1025
Persistent link: https://www.econbiz.de/10008900941
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Option implied cost of equity and its properties
Câmara, António; Chung, San-lin; Wang, Yaw-huei - In: The journal of futures markets 29 (2009) 7, pp. 599-629
Persistent link: https://www.econbiz.de/10003842906
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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
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Options on troubled stock
Câmara, António; Popova, Ivilina; Simkins, Betty J. - In: The journal of futures markets 34 (2014) 7, pp. 637-657
Persistent link: https://www.econbiz.de/10010507943
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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
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Two counters of jumps
Câmara, António - In: Journal of banking & finance 33 (2009) 3, pp. 456-463
Persistent link: https://www.econbiz.de/10003807620
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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
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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
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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