Author

Name:
José Carlos Dias
e-mail:
jose.carlos.dias@iscte.pt
URL:
http://indeg.iscte.pt/?pt=Docentes&op=SITE_OP_FORM&id=402
FCT research center:
Unidade de Investigação em Desenvolvimento Empresarial - UNIDE (2015)
REBIDES institution:
ISCTE - Instituto Universitário de Lisboa (2015)
Articles 13:
Ranking: CEF.UP+NIPE (average of all rankings) (2012).

Measuring Financial Cycles: Empirical Evidence for Germany, United Kingdom and United States of America 4.38
Tiago Mota Dutra, José Carlos Dias, João Teixeira
International Review Of Economics And Finance, vol. 79, 2022, p. 599-630.

Modeling Energy Prices under Energy Transition: A Novel Stochastic-Copula Approach 8.79
Mario Correia Fernandes, José Carlos Dias, João Pedro Vidal Nunes
Economic Modelling, vol. 105, 2021, p. .

A Note on Options and Bubbles under the CEV Model: Implications for Pricing and Hedging 5.22
José Carlos Dias, João Pedro Vidal Nunes, Aricson Cruz
Review Of Derivatives Research, vol. 23, 2020, p. 249-272.

Valuing American-Style Options under the CEV Model: An Integral Representation Based Method 7.82
Aricson Cruz, José Carlos Dias
Review Of Derivatives Research, vol. 23, 2020, p. 63-83.

Pricing Double Barrier Options on Homogeneous Diffusions: A Neumann Series of Bessel Functions Representation 4.23
Igor V. Kravchenko, Vladislav V. Kravchenko, Sergii M. Torba, José Carlos Dias
International Journal Of Theoretical And Applied Finance, vol. 22, 2019, p. 1-24.

The Binomial CEV Model and the Greeks 12.51
Aricson Cruz, José Carlos Dias
Journal of Futures Markets, vol. 37, 2017, p. 90-104.

In-Out Parity Relations for American-Style Barrier Options 3.91
João Pedro Ruas, João Pedro Vidal Nunes, José Carlos Dias
Journal Of Derivatives, vol. 23, 2016, p. 20-32.

Pricing and Static Hedging of American-Style Knock-In Options on Defaultable Stocks 12.52
João Pedro Vidal Nunes, João Pedro Ruas, José Carlos Dias
Journal of Banking and Finance, vol. 58, 2015, p. 343-360.

Pricing and Static Hedging of European-Style Double Barrier Options under the Jump to Default Extended CEV Model 7.44
José Carlos Dias, João Pedro Vidal Nunes, João Pedro Ruas
Quantitative Finance, vol. 15, 2015, p. 1995-2010.

On the Computation of Option Prices and Greeks under the CEV Model 7.44
José Carlos Dias, Manuela Larguinho, Carlos A. Braumann
Quantitative Finance, vol. 13, 2013, p. 907-917.

Pricing and Static Hedging of American-Style Options under the Jump to Default Extended CEV Model 12.52
João Pedro Vidal Nunes, José Carlos Dias, João Pedro Ruas
Journal of Banking and Finance, vol. 37, 2013, p. 4059-4072.

Pricing Real Options under the Constant Elasticity of Variance Diffusion 12.51
José Carlos Dias, João Pedro Vidal Nunes
Journal of Futures Markets, vol. 31, 2011, p. 230-250.

Durable vs. Disposable Equipment Choice under Interest Rate Uncertainty 8.95
José Carlos Dias, Mark B. Shackleton
European Journal Of Finance, vol. 15, 2009, p. 157-167.

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