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math.PR2017
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…
q-fin.PR2017
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…