2 citations · 3 across the 10 of their papers we have counts for
6 papers · 1 filter
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…
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…
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…
On option pricing in illiquid markets with jumps
Youssef El-Khatib, Abdulnasser Hatemi-J
One of the shortcomings of the Black and Scholes model on option pricing is the assumption that trading of the underlying asset does not affect the price of that asset. This assump…
On the pricing and hedging of options for highly volatile periods
Youssef El-Khatib, Abdulnasser Hatemi-J
Option pricing is an integral part of modern financial risk management. The well-known Black and Scholes (1973) formula is commonly used for this purpose. This paper is an attempt…