Modelling the dependency between currency and debt crises: An option based approach
AbstractThe 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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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 100 (2008)
Issue (Month): 3 (September)
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