Details about Youssef El-Khatib

Access statistics for papers by Youssef El-Khatib.

Last updated 2024-08-03. Update your information in the RePEc Author Service.

Short-id: pel131

Working Papers

2023

1. A q-binomial extension of the CRR asset pricing model
   Papers, arXiv.org

2021

2. Approximate pricing formula to capture leverage effect and stochastic volatility of a financial asset
   Working Papers, HAL View citations (1)

2019

3. Exact Solution for the Portfolio Diversification Problem Based on Maximizing the Risk Adjusted Return
   Papers, arXiv.org View citations (2)

2018

4. Computation of second order price sensitivities in depressed markets
   Papers, arXiv.org View citations (1)
5. The Dividend Discount Model with Multiple Growth Rates of Any Order for Stock Evaluation
   Papers, arXiv.org
6. Valuation of Currency Options in Markets with a Crunch
   Papers, arXiv.org

2013

7. On option pricing in illiquid markets with jumps
   Papers, arXiv.org View citations (1)
8. On option pricing in illiquid markets with random jumps
   MPRA Paper, University Library of Munich, Germany View citations (1)
9. On the pricing and hedging of options for highly volatile periods
   MPRA Paper, University Library of Munich, Germany View citations (1)
   Also in Papers, arXiv.org (2013) View citations (1)

2011

10. A stochastic volatility model with jumps
    Papers, arXiv.org
11. On the calculation of price sensitivities with jump-diffusion structure
    MPRA Paper, University Library of Munich, Germany View citations (2)

2010

12. Stochastic optimal hedge ratio: Theory and evidence
    MPRA Paper, University Library of Munich, Germany View citations (1)
    See also Journal Article Stochastic optimal hedge ratio: theory and evidence, Applied Economics Letters, Taylor & Francis Journals (2012) View citations (2) (2012)

Journal Articles

2020

1. The nexus of trade-weighted dollar rates and the oil prices: an asymmetric approach
   Journal of Economic Studies, 2020, 47, (7), 1579-1589 View citations (2)

2017

2. Option valuation and hedging in markets with a crunch
   Journal of Economic Studies, 2017, 44, (5), 801-815 View citations (1)

2016

3. An extension of the asymmetric causality tests for dealing with deterministic trend components
   Applied Economics, 2016, 48, (42), 4033-4041 View citations (22)

2015

4. Portfolio selection: An alternative approach
   Economics Letters, 2015, 135, (C), 141-143 View citations (10)

2014

5. A Homotopy Analysis Method for the Option Pricing PDE in Post-Crash Markets
   Mathematical Economics Letters, 2014, 2, (3-4), 45-50

2012

6. Stochastic optimal hedge ratio: theory and evidence
   Applied Economics Letters, 2012, 19, (8), 699-703 View citations (2)
   See also Working Paper Stochastic optimal hedge ratio: Theory and evidence, MPRA Paper (2010) View citations (1) (2010)

2004

7. Computations of Greeks in a market with jumps via the Malliavin calculus
   Finance and Stochastics, 2004, 8, (2), 161-179 View citations (15)

Chapters

2020

1. Has the Causal Nexus of Oil Prices and Consumer Prices Been Asymmetric in the US during the Last Fifteen Decades?
   Chapter 5 in Risk Factors and Contagion in Commodity Markets and Stocks Markets, 2020, pp 121-131 View citations (2)

Software Items

2017

1. ASYM_CAUS: C++ module for Transforming an Integrated Variable with Deterministic Trend Parts into Negative and Positive Cumulative Partial Sums
   Statistical Software Components, Boston College Department of Economics View citations (2)