According to the methodology of Dixit and Pindyck (1994), gold contains an implicit call option on the collapse of the fiat system. The price dynamics St incorporate a Poisson jump process Nt: dSt/St = μdt + σdWt + (J-1)dNt, where Nt∼Poisson(λ) for the arrival of a systemic fiat crisis, and J is the jump amplitude…