José Carlos Dias

Static Hedging and Early Exercise Boundaries for American-style Barrier Options

João Pedro Vidal Nunes, João Pedro Ruas, José Carlos Dias, 2014 .

Valuing American-style options under the CEV model: an integral representation based method

José Carlos Dias, Aricson Cruz, José Carlos Dias, 2019, Review of Derivatives Research.

Hysteresis Effects Under CIR Interest Rates

José Carlos Dias, Mark B. Shackleton, José Carlos Dias, 2010, Eur. J. Oper. Res..

Investment Hysteresis and Hitting Time for Mean-Reverting CIR Diffusions

José Carlos Dias, Mark B. Shackleton, 2009 .

Pricing Double Barrier Options under the CEV Process: A Speed-Accuracy Comparison of Alternative Methods

José Carlos Dias, João Pedro Vidal Nunes, 2012 .

Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral χ2 random variable

João Pedro Vidal Nunes, José Carlos Dias, José Carlos Dias, 2018, Eur. J. Oper. Res..

Early exercise boundaries for American-style knock-out options

João Pedro Vidal Nunes, João Pedro Ruas, José Carlos Dias, 2020, Eur. J. Oper. Res..