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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
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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 real options under the constant elasticity of variance diffusion
Dias, José Carlos; Nunes, Joaõ Pedro Vidal - In: The journal of futures markets 31 (2011) 3, pp. 230-250
Persistent link: https://www.econbiz.de/10008908403
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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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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
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American options and callable bonds under stochastic interest rates and endogenous bankruptcy
Nunes, Joaõ Pedro Vidal - In: Review of derivatives research 14 (2011) 3, pp. 283-332
Persistent link: https://www.econbiz.de/10009349987
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Barrier options on spot LIBOR rates under multi-factor Gaussian HJM model
Nunes, Joaõ Pedro Vidal - In: The journal of derivatives : the official publication … 14 (2006) 1, pp. 61-81
Persistent link: https://www.econbiz.de/10003379130
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Multifactor and analytical valuation of treasury bond futures with an embedded quality option
Nunes, Joaõ Pedro Vidal; Oliveira, Luís Alberto … - In: The journal of futures markets 27 (2007) 3, pp. 275-303
Persistent link: https://www.econbiz.de/10003493051