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Keywords: Option pricing
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Journal Articles
Journal:
China Finance Review International
China Finance Review International (2017) 7 (4): 390–406.
Published: 21 September 2017
... introduce the systematic risk component consisting of market risk and beta risk. A closed-form solution for the authors’ pricing model is derived based on the option pricing framework. Findings Compared with the authors’, the pricing model that ignores systematic risk underestimates deposit insurance...
