Quantifying the recapitalization fund premium using option pricing techniques

The purpose of the paper consists in developing a formula for quantifying the premium a bank is expected to pay for a fund that provides recapitalization in order to allow orderly failure if the bank is in financial distress. The main finding is that such a premium can be computed as the difference between the prices of two European put options.

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Year of publication:	2012
Authors:	Necula, Ciprian ; Radu, Alina-Nicoleta
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 114.2012, 3, p. 249-251
Publisher:	Elsevier
Subject:	Banks \| Resolution fund \| European put option \| Volatility

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Type of publication:	Article
Classification:	G21 - Banks; Other Depository Institutions; Mortgages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010572221