Narrow search
Showing 1 - 10 of 19
Cover Image
Performance comparison of alternative stochastic volatility models and its determinants in energy futures : COVID-19 and Russia-Ukraine conflict features
Fernandes, Mário Correia; Dias, José Carlos; Nunes, … - In: The journal of futures markets 44 (2024) 3, pp. 343-383
Persistent link: https://www.econbiz.de/10014475488
Cover Image
Pricing and static hedging of American-style knock-in options on defaultable stocks
Nunes, Joaõ Pedro Vidal; Ruas, João Pedro; Dias, … - In: Journal of banking & finance 58 (2015), pp. 343-360
Persistent link: https://www.econbiz.de/10011544015
Cover Image
Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral χ2 random variable
Dias, José Carlos; Nunes, Joaõ Pedro Vidal - In: European journal of operational research : EJOR 265 (2018) 2, pp. 559-570
Persistent link: https://www.econbiz.de/10011811444
Cover Image
Early exercise boundaries for American-style knock-out options
Nunes, Joaõ Pedro Vidal; Ruas, João Pedro; Dias, … - In: European journal of operational research : EJOR 285 (2020) 2, pp. 753-766
Persistent link: https://www.econbiz.de/10012239665
Cover Image
A note on options and bubbles under the CEV model : implications for pricing and hedging
Dias, José Carlos; Nunes, Joaõ Pedro Vidal; Cruz, Aricson - In: Review of derivatives research 23 (2020) 3, pp. 249-272
Persistent link: https://www.econbiz.de/10012303226
Cover Image
Finite maturity caps and floors on continuous flows under the constant elasticity of variance process
Dias, José Carlos; Nunes, Joaõ Pedro Vidal; Silva, … - In: European journal of operational research : EJOR 316 (2024) 1, pp. 361-385
Persistent link: https://www.econbiz.de/10014574043
Cover Image
Novel analytic representations for caps, floors, collars, and exchange options on continuous flows, arbitrage-free relations, and optimal investments
Dias, José Carlos; Nunes, Joaõ Pedro Vidal; Silva, … - 2024
Persistent link: https://www.econbiz.de/10015110747
Cover Image
Pricing longevity derivatives via Fourier transforms
Bravo, Jorge Miguel Ventura; Nunes, Joaõ Pedro Vidal - In: Insurance / Mathematics & economics 96 (2021), pp. 81-97
Persistent link: https://www.econbiz.de/10012482752
Cover Image
Banking regulation and banks' risk-taking behavior : the role of investors' protection
Dutra, Tiago M.; Teixeira, João C. A.; Dias, José Carlos - In: The quarterly review of economics and finance : journal … 90 (2023), pp. 124-148
Persistent link: https://www.econbiz.de/10014431918
Cover Image
The binomial CEV model and the Greeks
Cruz, Aricson; Dias, José Carlos - In: The journal of futures markets 37 (2017) 1, pp. 90-104
Persistent link: https://www.econbiz.de/10011669764