1 citations · 1 across the 3 of their papers we have counts for
5 papers
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…
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…