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Errata for the article “Pricing and static hedging of American-style options under the jump to default extended CEV model”

Author

Listed:
  • Pedro Vidal Nunes, João
  • Pedro Ruas, João
  • Carlos Dias, José

Abstract

This errata corrects an error in Ruas et al. (2013, Equation 27) and updates the numerical results contained in Ruas et al. (2013, Tables 4 and 5). The material provided here is meant to be read strictly in conjunction with Ruas et al. (2013).

Suggested Citation

  • Pedro Vidal Nunes, João & Pedro Ruas, João & Carlos Dias, José, 2017. "Errata for the article “Pricing and static hedging of American-style options under the jump to default extended CEV model”," Journal of Banking & Finance, Elsevier, vol. 81(C), pages 20-23.
    • Handle: RePEc:eee:jbfina:v:81:y:2017:i:c:p:20-23
    DOI: 10.1016/j.jbankfin.2016.04.007
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    References listed on IDEAS

    as
    1. Nunes, João Pedro Vidal, 2009. "Pricing American Options under the Constant Elasticity of Variance Model and Subject to Bankruptcy," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(5), pages 1231-1263, October.
    2. Chung, San-Lin & Shih, Pai-Ta, 2009. "Static hedging and pricing American options," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2140-2149, November.
    3. Peter Carr & Vadim Linetsky, 2006. "A jump to default extended CEV model: an application of Bessel processes," Finance and Stochastics, Springer, vol. 10(3), pages 303-330, September.
    4. Ruas, João Pedro & Dias, José Carlos & Vidal Nunes, João Pedro, 2013. "Pricing and static hedging of American-style options under the jump to default extended CEV model," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4059-4072.
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