Pascal Letourneau

University of Wisconsin - Whitewater

Assistant Professor

Whitewater, WI 53190

United States

  • University of Wisconsin - Whitewater

SCHOLARLY PAPERS

8

DOWNLOADS

932

SSRN CITATIONS

6

CROSSREF CITATIONS

0

Scholarly Papers (8)

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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 294 (160,553)
Citation 4

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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 291 (162,225)
Citation 2

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American options, bias reduction, constrained regression, simulation

3.

Simulated Greeks for American Options

Downloads 259 (184,086)

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 214 (220,123)

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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 45 (631,195)

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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 37 (657,893)

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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 35 (670,351)

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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 15 (820,608)

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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 (945,856)
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coal plant, natural gas plant, emission market, real option, green policy

8.

This is How You Make a GARCH Smile - An Improved Estimation and Calibration Method for a Family of GARCH Models

Posted: 11 Sep 2015
Pascal Letourneau
University of Wisconsin - Whitewater

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NGARCH, Volatility, Kurtosis, Smile, Targeting