Zobrazeno 1 - 10
of 84
pro vyhledávání: '"Jerome Detemple"'
Autor:
Jerome Detemple, Yerkin Kitapbayev
Publikováno v:
Energies, Vol 14, Iss 4, p 814 (2021)
This paper derives the optimal investment policy of an electricity producer during a pandemic. We consider three problems: (1) investing in a gas-fired plant, (2) investing in a wind plant, and (3) investing in the best of a gas plant and a wind plan
Externí odkaz:
https://doaj.org/article/96f8e3d229c44fc684c7f93dcd780913
Autor:
Jerome Detemple, Yerkin Kitapbayev
Publikováno v:
Risks, Vol 6, Iss 1, p 5 (2018)
This paper studies the valuation of real options when the cost of investment jumps at a random time. Three valuation formulas are derived. The first expresses the value of the project in terms of a collection of knockout barrier claims. The second id
Externí odkaz:
https://doaj.org/article/fab17237d72d43e79cb956352958ad2c
Autor:
Jerome Detemple, Hao Xing
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::40f91da5dd6c33def936f2e1f25f5635
https://doi.org/10.2139/ssrn.4380732
https://doi.org/10.2139/ssrn.4380732
Autor:
Jerome Detemple, Yerkin Kitapbayev
Publikováno v:
Quantitative Finance. 21:1519-1532
We study the valuation of callable barrier reverse convertible contracts written on one or two underlying asset prices. We assume the issuer of the contract can call early redemption at any time du...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2e6897132873ff93739c5997ae195f57
https://doi.org/10.1080/14697688.2021.1912380
https://doi.org/10.1080/14697688.2021.1912380
Publikováno v:
Econometrica. 88:2697-2737
We study equilibria in multi‐asset and multi‐agent continuous‐time economies with asymmetric information and bounded rational noise traders. We establish the existence of two equilibria. First, a full communication equilibrium where the informe
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5d56ab64bfd0fabe0539cebd4832caaa
https://doi.org/10.3982/ecta17038
https://doi.org/10.3982/ecta17038
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e7ad119683d985980de743caf6ab6e2b
https://doi.org/10.2139/ssrn.4260836
https://doi.org/10.2139/ssrn.4260836
Autor:
Jerome Detemple, Yerkin Kitapbayev
Publikováno v:
The Review of Financial Studies. 33:3307-3347
We study investments in exclusive projects with different cost structures. Our analysis incorporates the possibility of producing a stochastic revenue stream from two alternative technologies with a stochastic variable cost and a fixed cost, respecti
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a9b807c8f347fc76057be515f2104b2e
https://doi.org/10.1093/rfs/hhz097
https://doi.org/10.1093/rfs/hhz097
Publikováno v:
Journal of Economic Dynamics and Control. 141:104375
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5dc9bd17cffa134dff0fa7f2d452239d
https://doi.org/10.1016/j.jedc.2022.104375
https://doi.org/10.1016/j.jedc.2022.104375
Autor:
Yerkin Kitapbayev, Jerome Detemple
Publikováno v:
Energy Economics. 111:106085
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4c8be8c5dbe23654226038ca3087552f
https://doi.org/10.1016/j.eneco.2022.106085
https://doi.org/10.1016/j.eneco.2022.106085
Publikováno v:
European Journal of Operational Research
European Journal of Operational Research, 2020, 282 (1), pp.363-385. ⟨10.1016/j.ejor.2019.09.009⟩
European Journal of Operational Research, Elsevier, 2020, 282 (1), pp.363-385. ⟨10.1016/j.ejor.2019.09.009⟩
European Journal of Operational Research, 2020, 282 (1), pp.363-385. ⟨10.1016/j.ejor.2019.09.009⟩
European Journal of Operational Research, Elsevier, 2020, 282 (1), pp.363-385. ⟨10.1016/j.ejor.2019.09.009⟩
International audience; This paper examines the valuation of American knock-out and knock-in step options. The structures of the immediate exercise regions of the various contracts are identified. Typical properties of American vanilla calls, such as
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::411c986956d315d94abb4f77aab8392c
https://shs.hal.science/halshs-02283374/file/Detemple_LaminouAbdou_Moraux_2019_American_Step_Options.pdf
https://shs.hal.science/halshs-02283374/file/Detemple_LaminouAbdou_Moraux_2019_American_Step_Options.pdf
