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A publicação pode ser exportada nos seguintes formatos: referência da APA (American Psychological Association), referência do IEEE (Institute of Electrical and Electronics Engineers), BibTeX e RIS.

Exportar Referência (APA) 
Dias, J. C., Nunes, J. & Silva, F. C. (2024). Finite maturity caps and floors on continuous flows under the constant elasticity of variance process. European Journal of Operational Research . 316 (1), 361-385
Exportar Referência (IEEE) 
J. C. Dias et al.,  "Finite maturity caps and floors on continuous flows under the constant elasticity of variance process", in European Journal of Operational Research , vol. 316, no. 1, pp. 361-385, 2024
Exportar BibTeX 
@article{dias2024_1732200311268,
	author = "Dias, J. C. and Nunes, J. and Silva, F. C.",
	title = "Finite maturity caps and floors on continuous flows under the constant elasticity of variance process",
	journal = "European Journal of Operational Research ",
	year = "2024",
	volume = "316",
	number = "1",
	doi = "10.1016/j.ejor.2024.01.039",
	pages = "361-385",
	url = "https://www.sciencedirect.com/journal/european-journal-of-operational-research"
}
Exportar RIS 
TY  - JOUR
TI  - Finite maturity caps and floors on continuous flows under the constant elasticity of variance process
T2  - European Journal of Operational Research 
VL  - 316
IS  - 1
AU  - Dias, J. C.
AU  - Nunes, J.
AU  - Silva, F. C.
PY  - 2024
SP  - 361-385
SN  - 0377-2217
DO  - 10.1016/j.ejor.2024.01.039
UR  - https://www.sciencedirect.com/journal/european-journal-of-operational-research
AB  - This paper offers novel analytical solutions for evaluating perpetual caps and floors on continuous flows under the constant elasticity of variance (CEV) model. We demonstrate that the inclusion of a perpetual bubble value is required to avoid arbitrage opportunities in the case of the CEV process with upward-sloping volatility skews. We then extend the previous literature on caps and floors arrangements by providing new analytical formulae for valuing finite maturity caps and floors that are contingent on continuous flows. We discuss the impact of the finite-lived solutions on the optimal behavior of a firm, relative to the perpetual case. We also show the implications of the correct specification of the underlying state variable process for the valuation of caps and floors by comparing the CEV results with the ones obtained when assuming a lognormal diffusion. Practical applications of these contractual agreements arising within the context of executive management decisions are also discussed.
ER  -