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http://hdl.handle.net/10071/18129
acessibilidade
Title: The early exercise boundary under the jump to default extended CEV model
Authors: Nunes, J. P. V.
Dias, J. C.
Ruas, J. P.
Keywords: American-style options
Early exercise boundary
Default
JDCEV model
Bessel processes
Issue Date: 2018
Publisher: Springer
Abstract: This 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).
Peer reviewed: yes
URI: http://hdl.handle.net/10071/18129
DOI: 10.1007/s00245-018-9496-7
ISSN: 0095-4616
Ciência-IUL: https://ciencia.iscte-iul.pt/id/ci-pub-47949
Appears in Collections:BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica

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