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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 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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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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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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The performance of deterministic and stochastic interest rate risk measures : another question of dimensions?
Oliveira, Luís; Nunes, Joaõ Pedro Vidal; Malcato, Luís - In: Portuguese economic journal 13 (2014) 3, pp. 141-165
Persistent link: https://www.econbiz.de/10010480059
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Pricing swaptions under multifactor Gaussian HJM models
Nunes, Joaõ Pedro Vidal; Prazeres, Pedro Miguel Silva - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 762-789
Persistent link: https://www.econbiz.de/10011308169
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Economic hysteresis effects and hitting time densities for CIR diffusions
Dias, José Carlos (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003733565
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Investment hysteresis under stochastic interest rates
Dias, José Carlos (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003273342
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Pricing double barrier options on homogeneous diffusions : a Neumann series of Bessel functions representation
Kravchenko, Igor V.; Kravchenko, Vladislav V.; Torba, … - In: International journal of theoretical and applied finance 22 (2019) 6, pp. 1-24
Persistent link: https://www.econbiz.de/10012153074