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- W2163610001 abstract "Using a market segmentation argument, this paper uses the interest rate derivative's arbitrage-free methodology to value both demand deposit liabilities and credit card loan balances in markets where deposits/loan rates may be determined under imperfect competition. In this context, these financial instruments are shown to be equivalent to a particular interest rate swap, where the principal depends on the past history of market rates. Solutions are obtained which are independent of any particular model for the evolution of the term structure of interest rates." @default.
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- W2163610001 date "1998-03-01" @default.
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- W2163610001 title "The arbitrage-free valuation and hedging of demand deposits and credit card loans" @default.
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- W2163610001 doi "https://doi.org/10.1016/s0378-4266(97)00058-7" @default.
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