Pricing and static hedging of American-style options under the jump to default extended CEV model
Year of publication: |
2013
|
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Authors: | Ruas, João Pedro ; Dias, José Carlos ; Nunes, Joaõ Pedro Vidal |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 11, p. 4059-4072
|
Subject: | American options | Static hedging | CEV model | JDCEV model | Early exercise boundary | Hedging | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Volatilität | Volatility |
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