Pricing and static hedging of American-style options under the jump to default extended CEV model (vol 37, pg 4059, 2013)

被引：0

作者：

Vidal Nunes, Joao Pedro ^{[1
,2
]}

Ruas, Joao Pedro ^{[3
,4
]}

Dias, Jose Carlos ^{[1
,2
]}

机构：

[1] BRU UNIDE, Edificio 2,Av Prof Anibal Bettencourt, P-1600189 Lisbon, Portugal

[2] ISCTE IUL Business Sch, Edificio 2,Av Prof Anibal Bettencourt, P-1600189 Lisbon, Portugal

[3] BRU UNIDE, ISCTE IUL Business Sch, Lisbon, Portugal

[4] Banco Portugal, Soc Gestora Fundos Pensoes, Lisbon, Portugal

来源：

JOURNAL OF BANKING & FINANCE | 2017年 / 81卷

关键词：

D O I：

10.1016/j.jbankfin.2016.04.007

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This errata corrects an error in Ruas et al. (2013, Equation 27) and updates the numerical results contained in Ruas et al. (2013, Tables 4 and 5). The material provided here is meant to be read strictly in conjunction with Ruas et al. (2013). (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：20 / 23

页数：4

共 14 条

[1] Pricing and static hedging of American-style options under the jump to default extended CEV model
Ruas, Joao Pedro
Dias, Jose Carlos
Vidal Nunes, Joao Pedro
[J]. JOURNAL OF BANKING & FINANCE, 2013, 37 (11) : 4059 - 4072
[2] Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model
Dias, Jose Carlos
Vidal Nunes, Joao Pedro
Ruas, Joao Pedro
[J]. QUANTITATIVE FINANCE, 2015, 15 (12) : 1995 - 2010
[3] Barrier Options Pricing under the Jump to Default Extended CEV Process
Wang, Liugen
Bao, Qunfang
Shenghongli
Liu, Guimei
[J]. 2010 2ND IEEE INTERNATIONAL CONFERENCE ON INFORMATION AND FINANCIAL ENGINEERING (ICIFE), 2010, : 197 - 201
[4] Pricing and static hedging of American-style knock-in options on defaultable stocks
Vidal Nunes, Joao Pedro
Ruas, Joao Pedro
Dias, Jose Carlos
[J]. JOURNAL OF BANKING & FINANCE, 2015, 58 : 343 - 360
[5] Pricing equity default swaps under the jump-to-default extended CEV model
Mendoza-Arriaga, Rafael
Linetsky, Vadim
[J]. FINANCE AND STOCHASTICS, 2011, 15 (03) : 513 - 540
[6] Pricing equity default swaps under the jump-to-default extended CEV model
Rafael Mendoza-Arriaga
Vadim Linetsky
[J]. Finance and Stochastics, 2011, 15 : 513 - 540
[7] Valuing American-style options under the CEV model: an integral representation based method
Cruz, Aricson
Dias, Jose Carlos
[J]. REVIEW OF DERIVATIVES RESEARCH, 2020, 23 (01) : 63 - 83
[8] Valuing American-style options under the CEV model: an integral representation based method
Aricson Cruz
José Carlos Dias
[J]. Review of Derivatives Research, 2020, 23 : 63 - 83
[9] A NUMERICAL METHOD FOR PRICING AMERICAN-STYLE ASIAN OPTIONS UNDER GARCH MODEL
Shao, Dan
[J]. INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2006, 9 (08) : 1323 - 1350
[10] Pricing American-style Parisian down-and-out call options (vol 305, pg 330, 2017)
Le, Nhat-Tan
Lu, Xiaoping
Zhu, Song-Ping
Dang, Duy-Minh
[J]. APPLIED MATHEMATICS AND COMPUTATION, 2018, 321 : 812 - 812

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