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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. P. V. & Ruas, J. P. (2015). Pricing and static hedging of european-style double barrier options under the jump to default extended CEV model. Quantitative Finance. 15 (12), 1995-2010
Exportar Referência (IEEE) 
J. C. Dias et al.,  "Pricing and static hedging of european-style double barrier options under the jump to default extended CEV model", in Quantitative Finance, vol. 15, no. 12, pp. 1995-2010, 2015
Exportar BibTeX 
@article{dias2015_1714145566347,
	author = "Dias, J. C. and Nunes, J. P. V. and Ruas, J. P.",
	title = "Pricing and static hedging of european-style double barrier options under the jump to default extended CEV model",
	journal = "Quantitative Finance",
	year = "2015",
	volume = "15",
	number = "12",
	doi = "10.1080/14697688.2014.971049",
	pages = "1995-2010",
	url = "http://www.tandfonline.com/doi/abs/10.1080/14697688.2014.971049"
}
Exportar RIS 
TY  - JOUR
TI  - Pricing and static hedging of european-style double barrier options under the jump to default extended CEV model
T2  - Quantitative Finance
VL  - 15
IS  - 12
AU  - Dias, J. C.
AU  - Nunes, J. P. V.
AU  - Ruas, J. P.
PY  - 2015
SP  - 1995-2010
SN  - 1469-7688
DO  - 10.1080/14697688.2014.971049
UR  - http://www.tandfonline.com/doi/abs/10.1080/14697688.2014.971049
AB  - This paper develops two novel methodologies for pricing and hedging European-style barrier option contracts under the jump to default extended constant elasticity of variance (JDCEV) model, namely: a stopping time approach based on the first passage time densities of the underlying asset price process through the barrier levels; and a static hedging portfolio approach in which the barrier option is replicated by a portfolio of plain-vanilla and binary options. In doing so, both valuation methodologies are extended to a more general set-up accommodating endogenous bankruptcy, time-dependent barriers and the commonly observed stylized facts of a positive link between default and equity volatility and of a negative link between volatility and stock price. The two proposed numerical methods are shown to be accurate, easy to implement and efficient under both the JDCEV model and the nested constant elasticity of variance model
ER  -