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An analysis of the true notional bond system applied to the CBOT T-bond futures

Ben-Abdallah, Ramzi; Ben-Ameur, Hatem; Breton, Michèle - In: Journal of banking & finance 33 (2009) 3, pp. 534-545

Persistent link: https://www.econbiz.de/10003807700

A dynamic programming approach for pricing options embedded in bonds

Ben-Ameur, Hatem; Breton, Michèle; Karoui, Lotfi; … - In: Journal of economic dynamics & control 31 (2007) 7, pp. 2212-2233

Persistent link: https://www.econbiz.de/10003485019

Dynamic programming for designing and valuing two-dimensional financial derivatives

Ben-Abdellatif, Malek; Ben-Ameur, Hatem; Chérif, Rim; … - In: Risks : open access journal 12 (2024) 12, pp. 1-15

We use dynamic programming, finite elements, and parallel computing to design and evaluate two-dimensional financial derivatives. Our dynamic program is flexible, as it divides the evaluation process into two components: one related to the dynamics of the underlying process and the other to the...

Persistent link: https://www.econbiz.de/10015325218

Upper and lower bounds for convex value functions of derivative contracts

Ben-Ameur, Hatem; Frutos, Javier de; Fakhfakh, Tarek; … - In: Economic modelling 34 (2013), pp. 69-75

Persistent link: https://www.econbiz.de/10010360612

A dynamic program for valuing corporate securities

Ayadi, Mohamed; Ben-Ameur, Hatem; Fakhfakh, Tarek - In: European journal of operational research : EJOR 249 (2016) 2, pp. 751-770

Persistent link: https://www.econbiz.de/10011436876

A two-factor structural model for valuing corporate securities

Ben-Abdellatif, Malek; Ben-Ameur, Hatem; Chérif, Rim; … - In: Review of derivatives research 27 (2024) 2, pp. 203-225

Persistent link: https://www.econbiz.de/10015133915

Valuing corporate securities when the firm's assets are illiquid

Ben-Ameur, Hatem; Fakhfakh, Tarek; Roch, Alexandre - In: Computational economics 63 (2024) 2, pp. 579-598

Persistent link: https://www.econbiz.de/10014472506

Dynamic programming for valuing options embedded in corporate bonds

Ben-Abdellatif, Malek; Ben-Ameur, Hatem; Chérif, Rim; … - 2023

Persistent link: https://www.econbiz.de/10014443102

A dynamic program under Lévy processes for valuing corporate securities

Ben-Ameur, Hatem; Chérif, Rim; Rémillard, Bruno N. - In: Journal of risk 25 (2023) 4, pp. 61-81

Persistent link: https://www.econbiz.de/10014314624

A dynamic program under Lévy processes for valuing corporate securities

Ben-Ameur, Hatem; Chérif, Rim; Rémillard, Bruno N. - In: Journal of risk : JOR 25 (2023) 4, pp. 61-81

Persistent link: https://www.econbiz.de/10014487107