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Finanças em Tempo Contínuo (1 º Sem 2017/2018)

Bibliografia

Básica

    Baxter, M., and A. Rennie, 1996, Financial Calculus: An Introduction to Derivative Pricing, Cambridge University Press.
    
    Björk, T., 1988, Arbitrage Theory in Continuous Time, Oxford University Press.
    
    Hull, J., 2008, Options, Futures and other Derivatives, Prentice Hall, 7th edition.
    
    Shreve, S., 2004, Stochastic Calculus for Finance II: Continuous-Time Models, Springer.
    

Complementar

    Cox, J., S. Ross, and M. Rubinstein. ?Option Pricing: A Simplified Approach.? Journal of
    Financial Economics, 7 (1979), 229-263.
    
    Brennan, M., and E. Schwartz. ?The Valuation of American Put Options.? Journal of Finance,
    32 (1977), 449-462.
    
    Barone-Adesi, G., and R. Whaley. ?Efficient Analytic Approximation of American Option
    Values.? Journal of Finance, 42 (1987), 301-320.
    
    Carr, P., R. Jarrow, and R. Myneni. ?Alternative Characterizations of American Put Options.?
    Mathematical Finance, 2 (1992), 87-106.
    
    Ju, N. ?Pricing an American Option by Approximating Its Early Exercise Boundary as a
    Multipiece Exponential Function.? Review of Financial Studies, 11 (1998), 627-646.
    
    Kim, J., and G. G. Yu. ?An Alternative Approach to the Valuation of American Options
    and Applications.? Review of Derivatives Research, 1 (1996), 61-85.
    
    Longstaff, F and E. Schwartz, 2001, Valuing American Options by Simulation: A Simple Least-Squares Approach, Review of Financial Studies 14, 113-147.
    
    Nunes J (2009), ?Pricing American options under the constant elasticity of variance model
    and subject to bankruptcy?. Journal of Financial and Quantitative Analysis 44:1231-1263