International Debt Crisis and the Prices of Options of Bank Stocks

Bhagwan Chowdhry

University of California at Los Angeles, Anderson Graduate School of Management from Anderson Graduate School of Management, UCLA

Abstract: Modelling the stock price processes of banks with large exposures to Latin American debt as a combination of diffusion and jump processes leads to a no-arbitrage pricing restriction which can be used to infer the implied market prices of Latin American debt.

Date: 1991-10-10
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