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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

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

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

Energy-Switching Using Lévy Processes - An Application to Canadian and North American Data

Arrigoni, Alexis - 2019

The Paris agreement in 2016 marks a global effort to limit the increase in temperature. In that spirit, the Federal Government of Canada introduced a carbon tax to reduce greenhouse gas emissions. The main goal of this paper is to define the correct approach to carbon pricing. Following the...

Persistent link: https://www.econbiz.de/10012868026

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

A regime-switching model to evaluate bonds in a quadratic term structure of interest rates

Boroumand, Raphaël Homayoun; Goutte, Stéphane; … - In: Applied financial economics 24 (2014) 19/21, pp. 1361-1366

Persistent link: https://www.econbiz.de/10010460151

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

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

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

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