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2003, vol. 7, br. 4, str. 61-63
The models for risk based capital
(naslov ne postoji na srpskom)
Faculty of Economic Informatics, Department of Mathematics, University of Economic, Bratislava, Slovakia
Ključne reči: option pricing; Merton model; Black Scholes model; riskless bond; payoff matrix; Arrow - Debreu securities; cumulative probability distribution function; equilibrium; partial derivative; moral hazard
Sažetak
(ne postoji na srpskom)
The aim of the paper is to analyze the discreet option pricing model and continuous case of pricing, Black Scholes model, the application Merton model with respect to risk based capital of banks, or insurance companies.
Reference
Cox, J.C., Ross, S.A., Rubinstein, M. (1979) Option pricing: A simplified approach. Journal of Financial Economics, 7, 229-263
Hull, J.C. (1993) Options, futures, and other derivative securities. Englewood Cliffs, NJ, itd: Prentice Hall
Merton, R.C. (1973) Theory of rational option pricing. Bell Journal of Economics and Management Science, 4, 141-183
 

O članku

jezik rada: engleski
vrsta rada: neklasifikovan
objavljen u SCIndeksu: 02.06.2007.

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