Title:

Pricing and Static Hedging of American-Style Options under the Jump to Default Extended CEV Model

Authors:

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

Journal:

Journal of Banking and Finance

Year:

2013

Volume:

37

Pages:

4059-4072

JEL code:

G13 - Contingent Pricing; Futures Pricing