Maltritz, Dominik; Eichler, Stefan - In: International Journal of Forecasting 26 (2010) 4, pp. 858-884
During capital control episodes, large price deviations between American Depositary Receipts (ADR) and their underlying stocks signal that a currency crisis is about to occur. We interpret this price spread as the price of a call option. Using option pricing theory we derive detailed information...