An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory

Journal of Banking and Finance

Volumn 1, Issue 1, 1977, Pages 3-11

  Merton, Robert C ^a  

^a MASSACHUSETTS INSTITUTE OF TECHNOLOGY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 49449127434     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/0378-4266(77)90015-2     Document Type: Article

References (10)

1. The pricing of options and corporate liabilities
2. The valuation of option contracts and a test of market efficiency
3. The valuation of American put options
4. The pricing of equity-linked life insurance policies with an asset value guarantee
5. Pricing of options and the efficiency of the Chicago Board Options Exchange
6. Theory of rational option pricing
7. The relationship between put and call option prices Comment
8. On the pricing of corporate debt: The risk structure of interest rates
9. Option pricing: The American put
10. Option pricing: A review