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Article
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
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