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題名 | Alternative Valuation of the Cost of Deposit Insurance: An Aapplication of Option Pricing Model With Stochastic Volatility=存款保險成本的評價:隨機變異值選擇權訂價模型的應用 |
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作者姓名(中文) | 黃達業; 俞明德; | 書刊名 | 臺大管理論叢 |
卷期 | 4:1 1993.05[民82.05] |
頁次 | 頁337-359 |
分類號 | 562.34 |
關鍵詞 | 存款保險費率; Black-scholes選擇權定價模型; 隨機變異數; 隨機微分方程; Deposit insurance premium; Black-scholes option pricing model; Stochastic volatility; Stochastic differential equation; Diffusion process; |
語文 | 英文(English);中文(Chinese);英文(English) |
中文摘要 | 本文首度應用隨機變異值選擇權訂價模型到存款保險費率的評價上。我們比較Merton( 1977 )模型及隨機變異值模型後發現,Merton模型只是我們的一般化模型之特例,由於Black-Scholes的標準選擇權模型經常低估深價內 ( deep in-the-money ) 以及遠價外 ( deep out-of-the-money ) 的情形,我們預期未來應用此隨機變異值模型的實證研究將可獲得較高的存款保險費率估計值,因而可以化解一方面存保費率過度徵收的實證發現而另一方面FDIC的存款保險基金卻又不足的現象。 |
英文摘要 | This paper first introduces the theoretical application of Option Pricing Model with stochastic volatility to the valuation of deposit in-surance premium. We compare our model with Merton's ( 1977 ) original version in which volatility is assumed as constant and show that Merton's model is just a special case of our generalized pricing model. Since Black-Scholes model frequently undervalues deep in-and out-of-the-money option, we expect that future empirical studies using this pricing model with' stochastic volatility could provide higher estimates of deposit insurance premiums and resolve the controversy between the previous empirical finding of overcharged premiums and the insolvent situation of deposit insurance funds. |
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