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...

This article analyses the intergenerational evolution of nutritional inequality in Spain between 1840 and 1984. With male height data (N=358,253), the secular trend of biological well-being and intergenerational anthropometric inequalities are studied based on the coefficient of variation,...

The estimation of the cost of equity capital (COE) is one of the most important tasks in financial management. Existing approaches compute the COE using historical data, i.e. they are backward-looking methods. This paper derives a method to calculate forward-looking estimates of the COE using...

This paper extends the jump-diffusion option pricing model of Merton (1976) and the displaced diffusion option pricing model of Rubinstein (1983) to price options on stock indices. First, we provide a theory showing that the stock index value has a positive threshold or positive lower bound if...

<section xml:id="fut21616-sec-0001"> This study uses equilibrium arguments to derive closed‐form solutions for the price of European call and put options written on an individual stock when shareholders might lose all their claims on the firm. The stock price accounts for both a random probability of bankruptcy and a random...</section>