Título:

Pricing American Options under the Constant Elasticity of Variance Model and Subject to Bankruptcy

Autor:

João Pedro Vidal Nunes (ISCTE - Instituto Universitário de Lisboa)

Revista:

Journal of Financial and Quantitative Analysis

Ano:

2009

Volume:

44

Páginas:

1231-1263

Códigos JEL:

G13 - Contingent Pricing; Futures Pricing
G33 - Bankruptcy; Liquidation