Ruas, João Pedro; Dias, José Carlos; Nunes, Vidal; … - In: Journal of Banking & Finance 37 (2013) 11, pp. 4059-4072
This paper prices (and hedges) American-style options through the static hedge approach (SHP) proposed by Chung and Shih (2009) and extends the literature in two directions. First, the SHP approach is generalized to the jump to default extended CEV (JDCEV) model of Carr and Linetsky (2006), and...