Title:

Pricing and Static Hedging of American-Style Knock-In Options on Defaultable Stocks

Authors:

João Pedro Vidal Nunes (ISCTE - Instituto Universitário de Lisboa)
João Pedro Ruas (ISCTE - Instituto Universitário de Lisboa)
José Carlos Dias (ISCTE - Instituto Universitário de Lisboa)

Journal:

Journal of Banking and Finance

Year:

2015

Volume:

58

Pages:

343-360

JEL codes:

G11 - Portfolio Choice; Investment Decisions
G13 - Contingent Pricing; Futures Pricing

DOI:

10.1016/j.jbankfin.2015.05.003