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Details about Youssef El-Khatib

Homepage:http://faculty.uaeu.ac.ae/youssef_elkhatib/
Workplace:United Arab Emirates University

Access statistics for papers by Youssef El-Khatib.

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

Short-id: pel131


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Working Papers

2023

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

2021

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

2019

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

2018

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

2013

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

2011

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

2010

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

2017

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

2016

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

2015

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

2014

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

2012

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

2004

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