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, th...
| Hoofdauteur: | |
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| Formaat: | Tijdschrift |
| Taal: | English |
| Gepubliceerd in: |
Washington, D.C. :
International Monetary Fund,
2007.
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| Reeks: | IMF Working Papers; Working Paper ;
No. 2007/045 |
| Online toegang: | Full text available on IMF |