Pascal Letourneau

University of Wisconsin - Whitewater

Assistant Professor

Whitewater, WI 53190

United States

SCHOLARLY PAPERS

8

DOWNLOADS

800

SSRN CITATIONS

4

CROSSREF CITATIONS

0

Scholarly Papers (8)

1.

Investors’ Reaction to the Government Credibility Problem: A Real Option Analysis of Emission Permit Policy Risk

Number of pages: 44 Posted: 26 Jan 2012 Last Revised: 03 Sep 2015
Sang Baum Kang and Pascal Letourneau
Illinois Institute of Technology - Stuart School of Business and University of Wisconsin - Whitewater
Downloads 286 (149,853)
Citation 2

Abstract:

Loading...

government credibility, climate change policy, emission trading, real option, compound option, least squares Monte-Carlo simulation

2.

Refining the Least Squares Monte Carlo Method by Imposing Structure

Number of pages: 32 Posted: 08 May 2012 Last Revised: 28 Feb 2013
Pascal Letourneau and Lars Stentoft
University of Wisconsin - Whitewater and Department of Economics, University of Western Ontario
Downloads 279 (153,581)
Citation 2

Abstract:

Loading...

American options, bias reduction, constrained regression, simulation

Simulated Greeks for American Options

Number of pages: 30 Posted: 06 Jan 2020
Pascal Letourneau and Lars Stentoft
University of Wisconsin - Whitewater and Department of Economics, University of Western Ontario
Downloads 146 (276,834)

Abstract:

Loading...

Hedging, Least Squares Monte Carlo method, Price sensitivities

Simulated Greeks for American Options

Number of pages: 50 Posted: 19 Mar 2022
Lars Stentoft and Pascal Letourneau
Department of Economics, University of Western Ontario and University of Wisconsin - Whitewater
Downloads 28 (660,576)

Abstract:

Loading...

finance, Hedging, Least Squares Monte Carlo method, Price sensitivities

4.

Efficient Pricing of Large Panels of Options

Number of pages: 58 Posted: 03 May 2022
Pascal Letourneau and Lars Stentoft
University of Wisconsin - Whitewater and Department of Economics, University of Western Ontario
Downloads 24 (671,206)

Abstract:

Loading...

American options, Homogeneity, Least-Squares Monte Carlo, Regression, Simulation

5.

Bootstrapping the Early Exercise Boundary in the Least-Squares Monte Carlo Method

Number of pages: 34 Posted: 01 Jan 2020
Lars Stentoft and Pascal Letourneau
Department of Economics, University of Western Ontario and University of Wisconsin - Whitewater
Downloads 23 (678,657)

Abstract:

Loading...

American Options, Least-Squares Monte Carlo, Exercise Boundary, Simulation

6.

Exercising Real Options Sooner or Later? New Insights from Quantile-Preserving Spreads on how to Hasten or Delay Exercise

Number of pages: 50 Posted: 28 Sep 2021
Sang Baum Kang and Pascal Letourneau
Illinois Institute of Technology - Stuart School of Business and University of Wisconsin - Whitewater
Downloads 13 (761,547)

Abstract:

Loading...

Real Option, Financial Option, Exercise Probability, Quantile-preserving Spread, Stochastic Dominance, Capital Investment

7.

A Real Option Analysis on Retiring Existing Coal-Fired Electricity Plants in the United States

Journal of Energy Markets, Forthcoming
Number of pages: 20 Posted: 16 Oct 2018
Sang Baum Kang, Pascal Letourneau and Steve X. Sala
Illinois Institute of Technology - Stuart School of Business, University of Wisconsin - Whitewater and Bank of America - Bank of America Merrill Lynch
Downloads 1 (891,007)
  • Add to Cart

Abstract:

Loading...

coal plant, natural gas plant, emission market, real option, green policy

8.

Abstract:

Loading...

NGARCH, Volatility, Kurtosis, Smile, Targeting