Pricing and static hedging of American-style options under the jump to default extended CEV model
João Pedro Ruas; José Carlos Dias; João Pedro Vidal Nunes
| Year of publication: |
2013
|
|---|---|
| Authors: | Ruas, João Pedro ; Dias, José Carlos ; Nunes, Joaõ Pedro Vidal |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 11, p. 4059-4072
|
| Subject: | American options | Static hedging | CEV model | JDCEV model | Early exercise boundary | Hedging | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Corrigendum enthalten in: Band 81.2017, Seite 20-23 |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010244898