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

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.

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Year of publication:	2008
Authors:	Maltritz, Dominik
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 100.2008, 3, p. 344-347
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005159022