Title:

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

Author:

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

Journal:

Journal of Financial and Quantitative Analysis

Year:

2009

Volume:

44

Pages:

1231-1263

JEL codes:

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