Modelling the dependency between currency and debt crises: An option based approach

Dominik Maltritz

Economics Letters, 2008, vol. 100, issue 3, 344-347

Abstract: The interrelation between currency and debt crises is considered in a model relying on option pricing theory. By capturing uncertainty and time aspects in this stochastic and dynamic framework we analyze parameters that determine the probabilities and dependencies of these crises.

Date: 2008
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