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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 stochastic dynamic program for valuing options on futures

Ayadi, Mohamed A.; Ben-Ameur, Hatem; Kirillov, Tymur; … - In: The journal of futures markets 34 (2014) 12, pp. 1185-1201

Persistent link: https://www.econbiz.de/10010508671

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

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

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

Optimal portfolio positioning under ambiguity

Ben Ameur, H.; Prigent, Jean-Luc - In: Economic modelling 34 (2013), pp. 89-97

Persistent link: https://www.econbiz.de/10010361938