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Inferring volatility from option prices

Galai, Dan - In: Finance : revue de l'Association Française de Finance 12 (1991) 1, pp. 45-64

Persistent link: https://www.econbiz.de/10009918757

National economic planning, environmental policy and stochastic capital productivity

Crouhy, Michel G.; Veyrac, Liliane L. - In: Applied optimal control, (pp. 171-183). 1978

Persistent link: https://www.econbiz.de/10002032422

Volatility indices for the French financial market

Crouhy, Michel G.; Rockinger, Michae͏̈l - In: Finance : revue de l'Association Française de Finance 18 (1997) 2, pp. 29-50

Persistent link: https://www.econbiz.de/10009918819

Insights and Analysis of Current Events: The Subprime Credit Crisis of 2007

Crouhy, Michel G.; Jarrow, Robert A.; Turnbull, Stuart M. - In: The journal of derivatives : the official publication … 16 (2008) 1, pp. 81

Persistent link: https://www.econbiz.de/10008099502

A comparative analysis of current credit risk models

Crouhy, M.; Galai, D.; Mark, R. - In: Journal of banking & finance 24 (2000) 1, pp. 59-118

Persistent link: https://www.econbiz.de/10005897184

Stochastic equity volatility related to the leverage effect II: valuation of European equity options and warrants

Bensoussan, A.; Crouhy, M.; Galai, D. - In: Applied Mathematical Finance 2 (1995) 1, pp. 43-60

We propose a general framework to assess the value of the financial claims issued by the firm, European equity options and warrantsin terms of the stock price. In our framework, the firm's asset is assumed to follow a standard stationary lognormal process with constant volatility. However, it is...

Persistent link: https://www.econbiz.de/10009279075

Optimal hedging in a futures market with background noise and basis risk

Briys, E.; Crouhy, M.; Schlesinger, H. - In: European economic review : EER 37 (1993) 5, pp. 949-960

Persistent link: https://www.econbiz.de/10007717653

The interaction between the financial and investment decisions of the firm: the case of issuing warrants in a levered firm

Crouhy, M.; Galai, D. - In: Journal of banking & finance 18 (1994) 5, pp. 861-880

Persistent link: https://www.econbiz.de/10005913920

The pricing of forward-starting asian options

Bouaziz, L.; Briys, E.; Crouhy, M. - In: Journal of banking & finance 18 (1994) 5, pp. 823-840

Persistent link: https://www.econbiz.de/10005913922

Grandeur et misère de lʹéconométrie ou faut-il rejeter les thèses structurelles de lʹinflation?

Fitoussi, Jean-Paul; Pollin, Jean-Paul - In: Revue économique : revue bimestrielle 29 (1978) 4, pp. 762-766

Persistent link: https://www.econbiz.de/10002159543