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

This paper applies the static hedge portfolio approach (SHP) of Chung et al. (2013) in two new directions. First, the SHP approach is generalized from the constant elasticity of variance (CEV) model of Cox (1975) to the jump to default extended CEV (JDCEV) framework of Carr and Linetsky (2006). For...

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Bibliographic Details
Main Author: Nunes, J. (author)
Other Authors: Ruas, J. (author), Dias, J. C. (author)
Format: article
Language:eng
Published: 2015
Subjects:
American-style knock-in options
Default
Static hedging
CEV model
JDCEV model
Online Access:http://hdl.handle.net/10071/9453
Country:Portugal
Oai:oai:repositorio.iscte-iul.pt:10071/9453

Internet

http://hdl.handle.net/10071/9453

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