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Export Reference (APA) 
Ruas, J. P., Dias, J. C. & Nunes, J. (2013). Pricing and static hedging of American-style options under the jump to default extended CEV model. Journal of Banking and Finance. 37 (11), 4059-4072
Export Reference (IEEE) 
J. P. Ruas et al.,  "Pricing and static hedging of American-style options under the jump to default extended CEV model", in Journal of Banking and Finance, vol. 37, no. 11, pp. 4059-4072, 2013
Export BibTeX 
@article{ruas2013_1764931889974,
	author = "Ruas, J. P. and Dias, J. C. and Nunes, J.",
	title = "Pricing and static hedging of American-style options under the jump to default extended CEV model",
	journal = "Journal of Banking and Finance",
	year = "2013",
	volume = "37",
	number = "11",
	doi = "10.1016/j.jbankfin.2013.07.019",
	pages = "4059-4072",
	url = "http://www.sciencedirect.com/science/article/pii/S0378426613002896?via%3Dihub#bi005"
}
Export RIS 
TY  - JOUR
TI  - Pricing and static hedging of American-style options under the jump to default extended CEV model
T2  - Journal of Banking and Finance
VL  - 37
IS  - 11
AU  - Ruas, J. P.
AU  - Dias, J. C.
AU  - Nunes, J.
PY  - 2013
SP  - 4059-4072
SN  - 0378-4266
DO  - 10.1016/j.jbankfin.2013.07.019
UR  - http://www.sciencedirect.com/science/article/pii/S0378426613002896?via%3Dihub#bi005
AB  - This paper prices (and hedges) American-style options through the static hedge approach (SHP) proposed by Chung and Shih (2009) and extends the literature in two directions. First, the SHP approach is generalized to the jump to default extended CEV UDCEV) model of Carr and Linetsky (2006), and plain-vanilla American-style options on defaultable equity are priced. The robustness and efficiency of the proposed pricing solutions are compared with the optimal stopping approach offered by Nunes (2009), under both the JDCEV framework and the nested constant elasticity of variance (CEV) model of Cox (1975), using different elasticity parameter values. Second, the early exercise boundary near expiration is derived under the JDCEV model.
ER  -