Please use this identifier to cite or link to this item:
http://hdl.handle.net/10071/18129| Author(s): | Nunes, J. P. V. Dias, J. C. Ruas, J. P. |
| Date: | 2020 |
| Title: | The early exercise boundary under the jump to default extended CEV model |
| Volume: | 82 |
| Number: | 1 |
| Pages: | 151 - 181 |
| ISSN: | 0095-4616 |
| DOI (Digital Object Identifier): | 10.1007/s00245-018-9496-7 |
| Keywords: | American-style options Early exercise boundary Default JDCEV model Bessel processes |
| 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). |
| Peerreviewed: | yes |
| Access type: | Open Access |
| Appears in Collections: | BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| NunesDiasRuas_2018_vf.pdf | Pós-print | 292,3 kB | Adobe PDF | View/Open |
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