José Carlos Dias
José Carlos Dias
ISCTE-IUL Business School
Dirección de correo verificada de iscte.pt
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Citado por
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Año
On the computation of option prices and Greeks under the CEV model
M Larguinho, JC Dias, CA Braumann
Quantitative Finance 13 (6), 907-917, 2013
342013
Pricing real options under the constant elasticity of variance diffusion
J Carlos Dias, J Pedro Vidal Nunes
Journal of Futures Markets 31 (3), 230-250, 2011
332011
Pricing and static hedging of American-style options under the jump to default extended CEV model
JP Ruas, JC Dias, JPV Nunes
Journal of Banking & Finance 37 (11), 4059-4072, 2013
262013
Pricing and static hedging of American-style knock-in options on defaultable stocks
JPV Nunes, JP Ruas, JC Dias
Journal of Banking & Finance 58, 343-360, 2015
152015
Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model
JC Dias, JPV Nunes, JP Ruas
Quantitative Finance 15 (12), 1995-2010, 2015
142015
Hysteresis effects under CIR interest rates
JC Dias, MB Shackleton
European journal of operational research 211 (3), 594-600, 2011
112011
Investment hysteresis under stochastic interest rates
JC Dias, MB Shackleton
The Department of Accounting and Finance, 2005
112005
Efficiency tests in the Iberian stock markets
J Dias, L Lopes, V Martins, J Benzinho
Available at SSRN 599926, 2002
102002
The binomial CEV model and the Greeks
A Cruz, JC Dias
Journal of Futures Markets 37 (1), 90-104, 2017
62017
Durable vs. disposable equipment choice under interest rate uncertainty
JC Dias, MB Shackleton
The European Journal of Finance 15 (2), 157-167, 2009
42009
The early exercise boundary under the jump to default extended CEV model
JPV Nunes, JC Dias, JP Ruas
Applied Mathematics & Optimization, 1-31, 2018
32018
A survey into the use of derivatives by non-financial Portuguese firms
J Silva, JCG Dias
Journal of Financial Services Research 2 (13), 57-72, 2004
32004
Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral χ2 random variable
JC Dias, JPV Nunes
European Journal of Operational Research 265 (2), 559-570, 2018
22018
Speed and accuracy comparison of noncentral chi-square distribution methods for option pricing and hedging under the CEV Model
M Larguinho, JC Dias, CA Braumann
Em: Conference Proceedings of 18th International Conference on Forecasting …, 2011
22011
Critérios alternativos à taxa interna de rendibilidade
JC Dias, JM Benzinho
Novos desafios na Gestão, Innovação ou renovação?: XII Jornadas Luso …, 2002
22002
Early exercise boundaries for American-style knock-out options
JPV Nunes, JP Ruas, JC Dias
European Journal of Operational Research, 2020
12020
Generalized exponential basis for efficient solving of homogeneous diffusion free boundary problems: Russian option pricing
IV Kravchenko, VV Kravchenko, SM Torba, JC Dias
arXiv preprint arXiv:1808.08290, 2018
12018
Pricing double barrier options on homogeneous diffusions: a Neumann series of Bessel functions representation
IV Kravchenko, VV Kravchenko, SM Torba, JC Dias
arXiv preprint arXiv:1712.08247, 2017
12017
Errata for the article “Pricing and static hedging of American-style options under the jump to default extended CEV model”
JPV Nunes, JP Ruas, JC Dias
Journal of Banking & Finance 81, 20-23, 2017
12017
In-Out Parity Relations for American-Style Barrier options
JP Ruas, JP Nunes, JC Dias
Journal of Derivatives 23 (4), 20-32, 2016
12016
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Artículos 1–20