Autor

Nome:
José Carlos Dias
e-mail:
jose.carlos.dias@iscte.pt
URL:
http://indeg.iscte.pt/?pt=Docentes&op=SITE_OP_FORM&id=402
Centro FCT:
Unidade de Investigação em Desenvolvimento Empresarial - UNIDE (2015)
Instituição REBIDES:
ISCTE - Instituto Universitário de Lisboa (2015)
Artigos 8:

The Binomial CEV Model and the Greeks
Aricson Cruz, José Carlos Dias
Journal of Futures Markets, vol. 37, 2017, p. 90-104.

In-Out Parity Relations for American-Style Barrier Options
João Pedro Ruas, João Pedro Vidal Nunes, José Carlos Dias
Journal Of Derivatives, vol. 23, 2016, p. 20-32.

Pricing and Static Hedging of American-Style Knock-In Options on Defaultable Stocks
João Pedro Vidal Nunes, João Pedro Ruas, José Carlos Dias
Journal of Banking and Finance, vol. 58, 2015, p. 343-360.

Pricing and Static Hedging of European-Style Double Barrier Options under the Jump to Default Extended CEV Model
José Carlos Dias, João Pedro Vidal Nunes, João Pedro Ruas
Quantitative Finance, vol. 15, 2015, p. 1995-2010.

On the Computation of Option Prices and Greeks under the CEV Model
José Carlos Dias, Manuela Larguinho, Carlos A. Braumann
Quantitative Finance, vol. 13, 2013, p. 907-917.

Pricing and Static Hedging of American-Style Options under the Jump to Default Extended CEV Model
João Pedro Vidal Nunes, José Carlos Dias, João Pedro Ruas
Journal of Banking and Finance, vol. 37, 2013, p. 4059-4072.

Pricing Real Options under the Constant Elasticity of Variance Diffusion
José Carlos Dias, João Pedro Vidal Nunes
Journal of Futures Markets, vol. 31, 2011, p. 230-250.

Durable vs. Disposable Equipment Choice under Interest Rate Uncertainty
José Carlos Dias, Mark B. Shackleton
European Journal Of Finance, vol. 15, 2009, p. 157-167.

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