Pricing and static hedging of American-style options under the jump to default extended CEV model

✍ Scribed by Ruas, João Pedro; Dias, José Carlos; Vidal Nunes, João Pedro

• Book ID: 121287402
• Publisher: Elsevier Science
• Year: 2013
• Tongue: English
• Weight: 586 KB
• Volume: 37
• Category: Article
• ISSN: 0378-4266
• DOI: 10.1016/j.jbankfin.2013.07.019