關鍵字查詢 | 類別:期刊論文 | | 關鍵字:A contingent claim analysis of a rate-setting financial intermediary

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1 89/1 國企系 林志鴻 教授 期刊論文 發佈 A contingent claim analysis of a rate-setting financial intermediary , [89-1] :A contingent claim analysis of a rate-setting financial intermediary期刊論文A contingent claim analysis of a rate-setting financial intermediaryLin, Jyh-horng淡江大學國際貿易學系Black-Scholes valuation;Loan rate setting;Deposit rate settingElsevierInternational Review of Economics & Finance 9(4), pp.375-386Realizing that a financial intermediary's lending, treated as an investment opportunity, is like a financial call option clarifies the role of uncertainty. We argue that the portfolio-theoretic approach and the firm-theoretic approach have important linkages that can be used to demonstrate the contingent claim analysis of a rate-setting financial intermediary. Borrower-intermediary-lender relationships between the portfolio-theoretic combined volatilities and the firm-theoretic rate-setting modes under the Black-Scholes valuation are investigated, and the conclusions depend upon the portfolio composition redistribution effect. The effect of changes in the open market security rates on the loa
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