Pascal Letourneau

University of Wisconsin - Whitewater

Assistant Professor

Whitewater, WI 53190

United States

  • University of Wisconsin - Whitewater

SCHOLARLY PAPERS

8

DOWNLOADS

1,007

SSRN CITATIONS

7

CROSSREF CITATIONS

0

Scholarly Papers (8)

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1.

Simulated Greeks for American Options

Downloads 314 (155,037)

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 242 (201,336)

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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 72 (517,918)

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

2.

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 299 (163,230)
Citation 4

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

3.

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 295 (165,524)
Citation 2

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American options, bias reduction, constrained regression, simulation

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 41 (661,398)

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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 39 (673,706)

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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 18 (829,540)

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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 (973,189)
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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