The early exercise boundary under the jump to default extended CEV model

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dc.contributor.authorNunes, J. P. V.
dc.contributor.authorDias, J. C.
dc.contributor.authorRuas, J. P.
dc.date.accessioned2019-05-24T12:01:18Z
dc.date.available2019-05-24T12:01:18Z
dc.date.issued2020
dc.date.updated2020-11-20T15:10:55Z
dc.description.abstractThis paper proves the existence, uniqueness, monotonicity and continuity of the early exercise boundary attached to American-style standard options under the jump to default extended constant elasticity of variance model of Carr and Linetsky (Financ Stoch 10(3):303–330, 2006).eng
dc.description.versioninfo:eu-repo/semantics/acceptedVersion
dc.identifier.doi10.1007/s00245-018-9496-7
dc.identifier.issn0095-4616
dc.identifier.urihttp://hdl.handle.net/10071/18129
dc.journalApplied Mathematics and Optimization
dc.language.isoeng
dc.number1
dc.pagination151 - 181
dc.peerreviewedyes
dc.publisherSpringer
dc.relationinfo:eu-repo/grantAgreement/FCT/5876/147442/PT
dc.rightsopen access
dc.subjectAmerican-style optionseng
dc.subjectEarly exercise boundaryeng
dc.subjectDefaulteng
dc.subjectJDCEV modeleng
dc.subjectBessel processeseng
dc.subject.fosDomínio/Área Científica::Ciências Naturais::Matemáticaspor
dc.titleThe early exercise boundary under the jump to default extended CEV modeleng
dc.typearticle
dc.volume82
degois.publication.firstPage151
degois.publication.issue1
degois.publication.lastPage181
degois.publication.titleThe early exercise boundary under the jump to default extended CEV modeleng
dspace.entity.typePublicationen
iscte.alternateIdentifiers.scopus2-s2.0-85045749595
iscte.alternateIdentifiers.wosWOS:000548733700006
iscte.identifier.cienciahttps://ciencia.iscte-iul.pt/id/ci-pub-47949
iscte.subject.odsTrabalho digno e crescimento económicopor
iscte.subject.odsIndústria, inovação e infraestruturaspor
iscte.subject.odsProdução e consumo sustentáveispor

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