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~subject:"Early exercise boundary"
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Early exercise boundary
CEV model
42
Option pricing theory
20
Optionspreistheorie
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Volatilität
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constant elasticity of variance (CEV) model
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Dias, José Carlos
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Ruas, João Pedro
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Cruz, Aricson
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Nunes, Joaõ Pedro Vidal
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Nunes, Vidal
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Pedro, João
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Journal of Banking & Finance
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ECONIS (ZBW)
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Valuing American-style options under the
CEV
model
: an integral representation based method
Cruz, Aricson
;
Dias, José Carlos
- In:
Review of derivatives research
23
(
2020
)
1
,
pp. 63-83
Persistent link: https://www.econbiz.de/10012229783
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2
Pricing and static hedging of American-style options under the jump to default extended
CEV
model
Ruas, João Pedro
;
Dias, José Carlos
;
Nunes, Vidal
; …
- In:
Journal of Banking & Finance
37
(
2013
)
11
,
pp. 4059-4072
offered by Nunes (2009), under both the JDCEV framework and the nested constant elasticity of variance (
CEV
)
model
of Cox …
Persistent link: https://www.econbiz.de/10010703267
Saved in:
3
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
Saved in:
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