In this paper, we consider American option contracts when the underlying asset has stochastic dividends and stochastic volatility. We provide a full discussion of the theoretical foundations of American option valuation and exercise boundaries. We show how they depend on the various sources of...

We study the relationships between the real effective exchange rate (REER) of the Tunisian dinar and its determinants/fundamentals, i.e. the ratio of trade balance/GDP, the ratio of public consumption/GDP, the openness rate and the terms of trade. We find that in the most of cases, the variables...

The excess liquidity of commercial banks is very often mentioned in the CEMAC as one of the limits of monetary policy implementation by BEAC. In this paper, we tried to address excess reserves in the CEMAC banking system looking from the point of view of commercial banks. Indeed, commercial...

The study results presented here are derived from a process whose purpose was the initial deployment and use of the data envelopment analysis techniques and linear programming in R environment to verify the feasibility of transferring tools supporting analyzes conducted after the project...

This paper analyzes the potential effects of new capital requirements of banks in the WAEMU countries on the cost of credit in Togo. The influence on lending rates is examined through the channel of the of banking concentration. We show from generalized additive models (GAM) and generalized...

This paper analyzes the potential effects of new capital requirements of banks in the WAEMU countries on the cost of credit in Togo. The influence on lending rates is examined through the channel of the of banking concentration. We show from generalized additive models (GAM) and generalized...

Cet article vise à identifier un processus non linéaire par la méthode du noyau. Cette identification nécessite une sélection rigoureuse des coefficients de Markov et le choix de la fenêtre qui détermine le degré de lissage de l’estimateur. This paper aims to identify a nonlinear...

The objective of this work is to evaluate and explain technical efficiencies of Banks in CEMAC zone. We use dynamic non parametric approach to estimate efficiencies scores and non parametric regression to explain inefficiencies. Our estimates shows that credits react positively to deposits but...

In this paper, we test sustainability of Cameroon’s fiscal policy using the approach developed by Bohn (1998). We apply non parametric and semi-parametric regressions with time depending coefficients to estimate fiscal policy reaction function in Cameroon between 1975 and 2005. We find out...

This paper focuses on the effects of oil subsidies removal on households’ welfare in Senegal. The methodology is based on the estimations of gas and electricity demand functions using data from the Poverty Follow-up Survey. The results suggest a gas subsidies removal in the whole country even...