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Article
Title:
Pricing and Static Hedging of European-Style Double Barrier Options under the Jump to Default Extended CEV Model
Authors:
José Carlos Dias
(
ISCTE - Instituto Universitário de Lisboa
)
João Pedro Vidal Nunes
(
ISCTE - Instituto Universitário de Lisboa
)
João Pedro Ruas
(
Bank of Portugal
,
ISCTE - Instituto Universitário de Lisboa
)
Journal:
Quantitative Finance
Year:
2015
Volume:
15
Number:
12
Pages:
1995-2010
JEL code:
G13 - Contingent Pricing; Futures Pricing
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