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Wiener chaos : a new approach to option hedging
Lacoste, Vincent - In: Mathematical finance : an international journal of … 6 (1996) 2, pp. 197-213
Persistent link: https://www.econbiz.de/10001201638
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Choix de la moins chère à livrer : un raccourci utile
Lacoste, Vincent - In: Finance : revue de l'Association Française de Finance 23 (2002) Numéro hors série, pp. 77-92
Persistent link: https://www.econbiz.de/10009918870
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Multifactor models of the term structure of interest rates
El Karoui, Nicole; Lacoste, Vincent - 1992
Persistent link: https://www.econbiz.de/10000875966
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Optimal portfolio management with American capital guarantee
El Karoui, Nicole; Jeanblanc, Monique; Lacoste, Vincent - In: Journal of economic dynamics & control 29 (2005) 3, pp. 449-468
Persistent link: https://www.econbiz.de/10002611336
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Optimal portfolio management with American capital guarantee
El Karoui, Nicole; Jeanblanc, Monique; Lacoste, Vincent - 2002
Persistent link: https://www.econbiz.de/10001728997
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Understanding bid-ask spreads of derivatives under uncertain volatility and transaction costs
Ané, Thierry; Lacoste, Vincent - In: International journal of theoretical and applied finance 4 (2001) 3, pp. 467-489
Persistent link: https://www.econbiz.de/10001584363
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A Partial Equilibrium Model for the Convenience Yield Risk Premium
Attaoui, Sami - 2011
This papers develops a partial equilibrium model of the convenience yield risk premium. Contrary to the previous literature, the risk premium is computed explicitely and endogenously. We provide a decomposition of the convenience yield risk premium in terms of the volatility of the convenience...
Persistent link: https://www.econbiz.de/10013132926
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A scenario-based description of optimal American capital guaranteed strategies
Attaoui, Sami; Lacoste, Vincent - In: Finance : revue de l'Association Française de Finance 34 (2013) 2, pp. 65-119
Persistent link: https://www.econbiz.de/10010187203
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Optimal portfolio management with American capital guarantee
El Karoui, Nicole; Jeanblanc, Monique; Lacoste, Vincent - In: Journal of Economic Dynamics and Control 29 (2005) 3, pp. 449-468
Persistent link: https://www.econbiz.de/10005199977
Cover Image
Optimal portfolio management with American capital guarantee
El Karoui, Nicole; Jeanblanc, Monique; Lacoste, Vincent - In: Journal of economic dynamics & control 29 (2005) 3, pp. 449-468
Persistent link: https://www.econbiz.de/10006748805