黃達業臺灣大學：財務金融學研究所謝富順Shie, Fu-ShuenFu-ShuenShie2007-11-282018-07-092007-11-282018-07-092006http://ntur.lib.ntu.edu.tw//handle/246246/60798We apply the isomorphic relationship between deposit insurance and the put option to derive the pricing model of deposit insurance with forbearance. Our put option formula is obtained under the assumption that there exists a bankruptcy cost to go along with the bank’s asset risk. In departing from Allen and Saunders (1993), we argue that bankruptcy cost is an important factor, especially when the insured institution is insolvent. A closed-form solution is derived within a framework of deposit insurance valuation and a numerical estimation is computed using the simulation method.Contents Summary Section of “Pricing of Deposit Insurance with Bankruptcy Cost” 1 Essay 1 Pricing of Deposit Insurance with Bankruptcy Cost 2 I. INTRODUCTION 3 II. SOME GENERAL CONSIDERATIONS 7 III. THE DEPOSIT INSURANCE MODEL WITH BANKRUPTCY COST 10 A. The Basic Setup 10 B. The Non-callable Value of Deposit Insurance with Bankruptcy Cost 12 C. The Callable Value of Deposit Insurance with Bankruptcy Cost 16 D. Simulated Value of the Put with Bankruptcy Cost 19 IV. CONCLUSION 22 REFERENCES 23 Essay 2 Barrier option in deposit insurance with Bankruptcy Cost 30 1. Introduction 31 2. Barrier Option in Deposit Insurance without Bankruptcy Cost 35 3. Application of the Barrier Option to Pricing Deposit Insurance with Bankruptcy Cost 40 4. Conclusion 46 References 47 Appendix 49637009 bytesapplication/pdfen-US存款保險破產成本選擇權評價模型姑息永久美式賣權Deposit InsuranceBankruptcy Costoption pricing modelforbearanceAmerican perpetual put optionthesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/60798/1/ntu-95-D91723007-1.pdf