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José Carlos Dias
José Carlos Dias
ISCTE-IUL Business School
Email confirmado em iscte.pt
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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
482013
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
452011
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
342013
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
212015
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
212015
Hysteresis effects under CIR interest rates
JC Dias, MB Shackleton
European Journal of Operational Research 211 (3), 594-600, 2011
212011
Investment hysteresis under stochastic interest rates
JC Dias, MB Shackleton
9th Annual International Conference on Real Options: Paris, 2005
132005
Modeling energy prices under energy transition: A novel stochastic-copula approach
MC Fernandes, JC Dias, JPV Nunes
Economic Modelling 105, 105671, 2021
122021
Early exercise boundaries for American-style knock-out options
JPV Nunes, JP Ruas, JC Dias
European Journal of Operational Research 285 (2), 753-766, 2020
112020
Determinants of sovereign debt ratings in clusters of European countries–effects of the crisis
C Proença, M Neves, JC Dias, P Martins
Journal of Financial Economic Policy 14 (3), 403-427, 2022
102022
A note on options and bubbles under the CEV model: implications for pricing and hedging
JC Dias, JPV Nunes, A Cruz
Review of Derivatives Research 23 (3), 249-272, 2020
102020
Efficiency tests in the Iberian stock markets
J Dias, L Lopes, V Martins, J Benzinho
Available at SSRN 599926, 2002
102002
Measuring financial cycles: empirical evidence for Germany, United Kingdom and United States of America
TM Dutra, JC Dias, JCA Teixeira
International Review of Economics & Finance 79, 599-630, 2022
82022
The binomial CEV model and the Greeks
A Cruz, JC Dias
Journal of Futures Markets 37 (1), 90-104, 2017
82017
Generalized exponential basis for efficient solving of homogeneous diffusion free boundary problems: Russian option pricing
IV Kravchenko, VV Kravchenko, SM Torba, JC Dias
Journal of Mathematical Sciences, 2022
6*2022
Valuing American-style options under the CEV model: an integral representation based method
A Cruz, JC Dias
Review of Derivatives Research 23, 63-83, 2020
62020
The early exercise boundary under the jump to default extended CEV model
JPV Nunes, JC Dias, JP Ruas
Applied Mathematics & Optimization 82, 151-181, 2020
52020
The effect of political institutions on the interplay between banking regulation and banks’ risk
TM Dutra, JCA Teixeira, JC Dias
Journal of Banking Regulation, 1-18, 2023
42023
Banking regulation and banks’ risk-taking behavior: The role of investors’ protection
TM Dutra, JCA Teixeira, JC Dias
The Quarterly Review of Economics and Finance, 2023
42023
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
42018
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Artigos 1–20