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Pricing and static hedging of American-style knock-in options on defaultable stocks · Study

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ArticlePricing and static hedging of American-style knock-in options on defaultable stocks

João Pedro Vidal Nunes2015

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Pricing and static hedging of American-style knock-in options on defaultable stocks

João Pedro Vidal Nunes · João Pedro Ruas · José Carlos Dias

19 citations·0/0 files stored·Journal of Banking & Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Credit Risk and Financial Regulations

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References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1987Stochastic Differential Equations: An Introduction with Applications.1995Pricing Derivatives on Financial Securities Subject to Credit Risk 2006Stochastic Differential Equations—An Introduction With Applications 2000Asymmetric Volatility and Risk in Equity Markets 2003Equity Volatility and Corporate Bond Yields

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2014Pricing and static hedging of European-style double barrier options under the jump to default extended CEV modelarticle · 26 shared references 2013Pricing and static hedging of American-style options under the jump to default extended CEV modelarticle · 20 shared references 2009Pricing American Options under the Constant Elasticity of Variance Model and Subject to Bankruptcyarticle · 14 shared references 2012Static hedging and pricing American knock-in put optionsarticle · 13 shared references 2010Pricing real options under the constant elasticity of variance diffusionarticle · 11 shared references 2016Notes on Uncertainty, Unintended Consequences and Everything Elsepreprint · 11 shared references

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Year2015

Typearticle

Published2015-05-26

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations19

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jbankfin.2015.05.003

openalex_workW862136645

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