Work

Pricing and static hedging of American-style knock-in options on defaultable stocks

Year: 2015

Type: article

Source: Journal of Banking & Finance

DOI: 10.1016/j.jbankfin.2015.05.003

Authors: João Pedro Vidal Nunes, João Pedro Ruas, José Carlos Dias

Institutions: Iscte – Instituto Universitário de Lisboa, ISCTE Business School, Banco de Portugal

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funder: Fundação para a Ciência e a Tecnologia

Award: Decisões de exercício antecipado em contextos de incerteza e de taxas de juro estocásticas

OpenAlex ID: W862136645

FWCI: 3.634

Cites: 56

Cited by: 17

Related to: 10