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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
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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
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NORTA for portfolio credit risk
Ayadi, Mohamed; Ben-Ameur, Hatem; Channouf, Nabil; … - In: Decision making and risk/return optimization in …, (pp. 99-119). 2019
Persistent link: https://www.econbiz.de/10012127936
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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
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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
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Analytical valuation of compound options under regime-switching dynamics
Breton, Michèle; Ndoye, Mbaye - In: The journal of derivatives : JOD 29 (2021) 2, pp. 120-148
Persistent link: https://www.econbiz.de/10012698128