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
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Working Papers
2023
- A q-binomial extension of the CRR asset pricing model
Papers, arXiv.org
2021
- Approximate pricing formula to capture leverage effect and stochastic volatility of a financial asset
Working Papers, HAL View citations (1)
2019
- Exact Solution for the Portfolio Diversification Problem Based on Maximizing the Risk Adjusted Return
Papers, arXiv.org View citations (2)
2018
- Computation of second order price sensitivities in depressed markets
Papers, arXiv.org View citations (1)
- The Dividend Discount Model with Multiple Growth Rates of Any Order for Stock Evaluation
Papers, arXiv.org
- Valuation of Currency Options in Markets with a Crunch
Papers, arXiv.org
2013
- On option pricing in illiquid markets with jumps
Papers, arXiv.org View citations (1)
- On option pricing in illiquid markets with random jumps
MPRA Paper, University Library of Munich, Germany View citations (1)
- On the pricing and hedging of options for highly volatile periods
Papers, arXiv.org View citations (1)
Also in MPRA Paper, University Library of Munich, Germany (2013) View citations (1)
2011
- A stochastic volatility model with jumps
Papers, arXiv.org
- On the calculation of price sensitivities with jump-diffusion structure
MPRA Paper, University Library of Munich, Germany View citations (2)
2010
- 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
- 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
- Option valuation and hedging in markets with a crunch
Journal of Economic Studies, 2017, 44, (5), 801-815 View citations (1)
2016
- An extension of the asymmetric causality tests for dealing with deterministic trend components
Applied Economics, 2016, 48, (42), 4033-4041 View citations (22)
2015
- Portfolio selection: An alternative approach
Economics Letters, 2015, 135, (C), 141-143 View citations (10)
2014
- A Homotopy Analysis Method for the Option Pricing PDE in Post-Crash Markets
Mathematical Economics Letters, 2014, 2, (3-4), 45-50
2012
- 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
- 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
- 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
- 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)
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