Pricing and static hedging of American-style knock-in options on defaultable stocks
João Pedro Vidal Nunes, João Pedro Ruas, José Carlos Dias
| Year of publication: |
September 2015
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|---|---|
| Authors: | Nunes, Joaõ Pedro Vidal ; Ruas, João Pedro ; Dias, José Carlos |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 58.2015, p. 343-360
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| Subject: | American-style knock-in options | Default | Static hedging | CEV model | JDCEV model | Hedging | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2015.05.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011544015