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On volatility smiles and the valuation of equity and index options in the Paris bourse : theory and empirical tests
Bellalah, Mondher - In: International financial systems and stock volatility : …, (pp. 271-297). 2002
Persistent link: https://www.econbiz.de/10001783003
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Real options with information costs : a synthesis
Bellalah, Mondher; Pariente, Georges - In: International journal of business 12 (2007) 2, pp. 155-179
Persistent link: https://www.econbiz.de/10003463394
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On the smile effect and market imperfections in the presence of jumps and incomplete information
Bellalah, Mondher; Riva, Fabrice - In: Finance India : the quarterly journal of Indian … 15 (2001) 4, pp. 1279-1287
Persistent link: https://www.econbiz.de/10001666217
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A model for international capital markets closure in an economy with incomplete markets and short sales
Bellalah, Mondher; Zhang, Detao - In: Economic modelling 67 (2017), pp. 316-324
Persistent link: https://www.econbiz.de/10011813834
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Evaluation of Real Options with Information Costs
Sahut, Jean-Michel - 2011
This paper presents a simple framework for the analysis, valuation and simulation of several real options in the presence of shadow costs of incomplete information. Information costs can be viewed as sunk costs in the spirit of Merton's (1987) model of capital market equilibrium with incomplete...
Persistent link: https://www.econbiz.de/10013130202