José Carlos Dias

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
The interaction between equity-based compensation and debt in managerial risk choices Review of Derivatives Research	2025-12-16	Paper
Finite maturity caps and floors on continuous flows under the constant elasticity of variance process European Journal of Operational Research	2024-08-13	Paper
Pricing levered warrants under the CEV diffusion model Review of Derivatives Research	2024-06-04	Paper
Generalized exponential basis for efficient solving of homogeneous diffusion free boundary problems: Russian option pricing Journal of Mathematical Sciences (New York)	2024-02-01	Paper
A note on options and bubbles under the CEV model: implications for pricing and hedging Review of Derivatives Research	2020-11-10	Paper
The early exercise boundary under the jump to default extended CEV model Applied Mathematics and Optimization	2020-07-17	Paper
Early exercise boundaries for American-style knock-out options European Journal of Operational Research	2020-05-27	Paper
Valuing American-style options under the CEV model: an integral representation based method Review of Derivatives Research	2020-05-13	Paper
Pricing double barrier options on homogeneous diffusions: a Neumann series of Bessel functions representation International Journal of Theoretical and Applied Finance	2019-11-08	Paper
Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model Quantitative Finance	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 European Journal of Operational Research	2017-11-23	Paper
Valuation of bond options under the CIR model: some computational remarks New Advances in Statistical Modeling and Applications	2015-07-08	Paper
On the computation of option prices and Greeks under the CEV model Quantitative Finance	2014-02-20	Paper
Hysteresis effects under CIR interest rates European Journal of Operational Research	2012-05-14	Paper

Research outcomes over time

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