關鍵字查詢 | 類別:期刊論文 | | 關鍵字:A barrier option framework for bank interest margin management under anticipatory regret aversion

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序號 學年期 教師動態
1 101/2 國企系 林志鴻 教授 期刊論文 發佈 A barrier option framework for bank interest margin management under anticipatory regret aversion , [101-2] :A barrier option framework for bank interest margin management under anticipatory regret aversion期刊論文A barrier option framework for bank interest margin management under anticipatory regret aversionLin, Jyh-Horng; Hung, Wei-Ming淡江大學國際企業學系Bank interest margin; Regret aversion;Barrier option; Bank equity valuationAmsterdam: Elsevier BVEconomic Modelling 33, pp.794-801This paper proposes a framework for bank equity valuation based on a path-dependent, barrier option model. A direct implication of this framework is that bank equity will be priced as a down-and-out call option. Using this approach, we examine how bank interest margin, i.e., the spread between the loan rate and the deposit rate, is determined when a bank is regret-averse. Regret-averse preferences are characterized by a down-and-in call, which is specified as the difference between a standard call and a down-and-out call. The model demonstrates how anticipatory regret aversion and the default barrier jointly determine an opt
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