José Carlos Dias

Available identifiers

Publication	Date of Publication	Type
Generalized exponential basis for efficient solving of homogeneous diffusion free boundary problems: Russian option pricing	2024-02-01	Paper
A note on options and bubbles under the CEV model: implications for pricing and hedging	2020-11-10	Paper
The early exercise boundary under the jump to default extended CEV model	2020-07-17	Paper
Early exercise boundaries for American-style knock-out options	2020-05-27	Paper
Valuing American-style options under the CEV model: an integral representation based method	2020-05-13	Paper
PRICING DOUBLE BARRIER OPTIONS ON HOMOGENEOUS DIFFUSIONS: A NEUMANN SERIES OF BESSEL FUNCTIONS REPRESENTATION	2019-11-08	Paper
Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model	2018-09-19	Paper
Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral \(\chi^{2}\) random variable	2017-11-23	Paper
Valuation of Bond Options Under the CIR Model: Some Computational Remarks	2015-07-08	Paper
On the computation of option prices and Greeks under the CEV model	2014-02-20	Paper
Hysteresis effects under CIR interest rates	2012-05-14	Paper

No records found.

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: José Carlos Dias