An Option-Based Model of Equilibrium Credit Rationing.

This paper applies options theory to the model of equilibrium credit rationing developed by Stiglitz and Weiss (1981) by noticing that, given a standard debt contract and limited liability, the payoffs to the lender and the borrower when a loan is make involve a put option and a call option respectively. Information asymmetry is modelled using stochastic volatility option pricing methods.

MoreLess

Year of publication:	1996
Authors:	Mason, R
Institutions:	Economics Group, Nuffield College, University of Oxford
Subject:	CREDIT \| ECONOMIC EQUILIBRIUM \| DEBT \| INFORMATION

More details

Series:	Economics Papers.
Type of publication:	Book / Working Paper
Notes:	14 pages
Classification:	D82 - Asymmetric and Private Information ; E51 - Money Supply; Credit; Money Multipliers
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005730291