Research, Hong Kong Institute for Monetary and Financial - 2022
determinants of the deep out-of-the-money euro put option prices, which embedded information on the euro crash risk during the …, the euro’s crash probability of 11% in a year with crash size of 14% is estimated at the end of April 2010. However … and heightened volatility in its currency. This paper shows that not only the creditworthiness of the euro-area countries …