2 citations · 3 across the 10 of their papers we have counts for
10 papers
A q-binomial extension of the CRR asset pricing model
Jean-Christophe Breton, Youssef El-Khatib, Jun Fan +1
We propose an extension of the Cox-Ross-Rubinstein (CRR) model based on -binomial (or Kemp) random walks, with application to default with logistic failure rates. This model all…
Exact Solution for the Portfolio Diversification Problem Based on Maximizing the Risk Adjusted Return
Abdulnasser Hatemi-J, Mohamed Ali Hajji, Youssef El-Khatib
The potential benefits of portfolio diversification have been known to investors for a long time. Markowitz (1952) suggested the seminal approach for optimizing the portfolio probl…
The Dividend Discount Model with Multiple Growth Rates of Any Order for Stock Evaluation
Abdulnasser Hatemi-J, Youssef El-Khatib
In this paper we provide a general solution for the dividend discount model in order to compute the intrinsic value of a common stock that allows for multiple stage growth rates of…
Valuation of Currency Options in Markets with a Crunch
Abdulnasser Hatemi-J, Youssef El-Khatib
This work studies the valuation of currency options in markets suffering from a financial crisis. We consider a European option where the underlying asset is a foreign currency. We…
Price sensitivities for a general stochastic volatility model
Youssef El-Khatib, Abdulnasser Hatemi-J
We deal with the calculation of price sensitivities for stochastic volatility models. General forms for the dynamics of the underlying asset price and its volatility are considered…
Computation of second order price sensitivities in depressed markets
Youssef El-Khatib, Abdulnasser Hatemi-J
Risk management in financial derivative markets requires inevitably the calculation of the different price sensitivities. The literature contains an abundant amount of research wor…