文章基本信息

标题：Loan Guarantees: An Option Pricing Theory Perspective
本地全文：下载
作者：Fabio Pizzutilo ; Francesco Calò
期刊名称：International Journal of Economics and Financial Issues
电子版ISSN：2146-4138
出版年度：2015
卷号：5
期号：4
页码：905-909
语种：English
出版社：EconJournals
摘要：In this paper we analyse security loan guarantees in the light of the option pricing theory. We interpret them as put options on the cash flows of a secured debt. We highlight that the value of the guarantee is always positive before a loan’s maturity and it depends on the same factors that determine the value of a financial option. We also analyse their value in the condition of market efficiency and we conclude that the inefficiencies of the financial markets justify their existence. Finally, we focus our attention on public agencies’ intervention by offering credit guarantees to private firms. Keywords: Loan guarantee; option pricing theory; public guarantee; guarantee value JEL Classifications : H81
其他摘要：In this paper we analyse security loan guarantees in the light of the option pricing theory. We interpret them as put options on the cash flows of a secured debt. We highlight that the value of the guarantee is always positive before a loan’s maturity and it depends on the same factors that determine the value of a financial option. We also analyse their value in the condition of market efficiency and we conclude that the inefficiencies of the financial markets justify their existence. Finally, we focus our attention on public agencies’ intervention by offering credit guarantees to private firms. Keywords: Loan guarantee; option pricing theory; public guarantee; guarantee value JEL Classifications : H81