Insurance Value of International Reserves : An Option Pricing Approach

An Option Pricing Approach

Insurance Value of International Reserves : An Option Pricing Approach
A quantitative framework is developed to bring forward the insurance motive of holding international reserves. The insurance value of reserves is quantified as the market price of an equivalent option that provides the same insurance coverage as the reserves. This quantitative framework is applied to calculating the cost of a regional insurance... READ MORE...

Publication date: September 2004
ISBN 9781451858785
$15.00

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