A Deposit Insurance Pricing with a Multi-state Regime-Switching Volatility

Author:

Putri Endah R MORCID,Tjahjono Venansius R,Imron Chairul

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Computational Mathematics

Reference24 articles.

1. Alfiana, E.T.S., Sutisna, D.M.: Impact of exogenous and endogenous risks on systemic risk in Indonesian banking. Int. J. Sci. Technol. Res. 1, 1 (2016)

2. Bollen, N.P.: Valuing options in regime-switching models. J. Derivat. 6, 38–50 (1998)

3. Boyle, P.P.: Options: a Monte Carlo approach. J Financ. Econ. 4(3), 323–338 (1977)

4. Boyle, P.P., Lee, I.: Deposit insurance with changing volatility: an application of exotic options. J. Financ. Eng. 3, 3 (1994)

5. Cont, R., Da Fonseca, J., et al.: Dynamics of implied volatility surfaces. Quant. Finance 2(1), 45–60 (2002)

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