Pricing Fund Liquidity Provision

Pricing Fund Liquidity Provision
This paper presents a market-based framework for pricing Fund liquidity assistance that accounts for the credit risk and the insurance benefit involved in such operations. It is based on the isomorphic correspondence between Fund liquidity and common stock put options. Although only illustrative, the simulations presented in this paper show that... READ MORE...

Publication date: February 2007
ISBN 9781451866094
$18.00

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