Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model

DOI10.1080/14697688.2014.971049zbMath1395.91438OpenAlexW2073762990MaRDI QIDQ4683115

José Carlos Dias, João Pedro Vidal Nunes, João Pedro Ruas

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2014.971049

zbMATH Keywords

defaultfirst passage timeBessel processesCEV modelstatic hedgingbarrier optionsJDCEV model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (8)

Valuing American-style options under the CEV model: an integral representation based method ⋮ Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral \(\chi^{2}\) random variable ⋮ A note on options and bubbles under the CEV model: implications for pricing and hedging ⋮ Pricing European vanilla options under a jump-to-default threshold diffusion model ⋮ A recursive method for static replication of autocallable structured products ⋮ Static replication of barrier-type options via integral equations ⋮ PRICING DOUBLE BARRIER OPTIONS ON HOMOGENEOUS DIFFUSIONS: A NEUMANN SERIES OF BESSEL FUNCTIONS REPRESENTATION ⋮ The early exercise boundary under the jump to default extended CEV model

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