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Pricing and static hedging of American-style options under the jump to default extended CEV model
Ruas, João Pedro; Dias, José Carlos; Nunes, Joaõ … - In: Journal of banking & finance 37 (2013) 11, pp. 4059-4072
Persistent link: https://www.econbiz.de/10010244898
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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
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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
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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
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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
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Pricing levered warrants under the CEV diffusion model
Glória, Carlos Miguel; Dias, José Carlos; Cruz, Aricson - In: Review of derivatives research 27 (2024) 1, pp. 55-84
Persistent link: https://www.econbiz.de/10015133908