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Jumps and volatility dynamics in agricultural commodity spot prices
Boroumand, Raphaël Homayoun; Goutte, Stéphane; … - In: Applied economics 49 (2017) 40, pp. 4035-4054
Persistent link: https://www.econbiz.de/10011820009
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Intraday hedging with financial options : the case of electricity
Boroumand, Raphaël Homayoun; Goutte, Stéphane - In: Applied economics letters 24 (2017) 20, pp. 1448-1454
Persistent link: https://www.econbiz.de/10011853065
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Pricing and hedging in stochastic volatility regime switching models
Goutte, Stéphane - In: Journal of mathematical finance 3 (2013) 1, pp. 70-80
Persistent link: https://www.econbiz.de/10010240223
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Dual optimization problem on defaultable claims
Goutte, Stéphane; Ngoupeyou, Armand - In: Mathematical economics letters 1 (2013) 2/4, pp. 47-54
Persistent link: https://www.econbiz.de/10010437851
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Regime-switching stochastic volatility model : estimation and calibration to VIX options
Goutte, Stéphane; Ismail, Amine; Pham, Huyên - In: Applied mathematical finance 24 (2017) 1/2, pp. 38-75
Persistent link: https://www.econbiz.de/10011746993
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On the estimation of regime-switching Lévy models
Chevallier, Julien; Goutte, Stéphane - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 1, pp. 3-29
Persistent link: https://www.econbiz.de/10011650170
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Approximate pricing formula to capture leverage effect and stochastic volatility of a financial asset
El-Khatib, Youssef; Goutte, Stéphane; Makumbe, Zororo S.; … - In: Finance research letters 44 (2022), pp. 1-7
Persistent link: https://www.econbiz.de/10014494891
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A hybrid stochastic volatility model in a Lévy market
El-Khatib, Youssef; Goutte, Stéphane; Makumbe, Zororo S.; … - In: International review of economics & finance : IREF 85 (2023), pp. 220-235
Persistent link: https://www.econbiz.de/10014424191