全部文献期刊学位论文会议报纸专利标准年鉴图书|学者科研项目
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作者:Marc Chesney , Pierre Lasserre , Bruno Troja
来源:[J].Annals of Operations Research(IF 1.029), 2017, Vol.255 (1-2), pp.465-506Springer
摘要:Mitigation and adaptation represent two solutions to the issue of global warming. While mitigation aims at reducing \(\hbox {CO}_2\) emissions and preventing climate change, adaptation encompasses a broad scope of techniques used to reduce the impacts of climate change once ...
作者:Marc Chesney , Nikola Vasiljević
来源:[J].Quantitative Finance(IF 0.824), 2018, Vol.18 (11), pp.1887-1908Taylor & Francis
摘要:This paper introduces an analytically tractable method for the pricing of European and American Parisian options in a flexible jump–diffusion model. Our contribution is threefold. First, using a double Laplace–Carson transform with respect to the option maturity and the Pari...
作者:Marc Chesney , Jonathan Gheyssens ...
来源:[J].Environmental Science and Policy(IF 2.978), 2015, Vol.48, pp.67-76Elsevier
摘要:Abstract(#br)We investigate geoengineering as a possible substitute for mitigation and adaptation measures to address climate change. Relying on an integrated assessment model, we distinguish between the effects of solar radiation management (SRM) on atmospheric temperature level...
作者:Andrea Baranzini , Marc Chesney , Jacques Morisset
来源:[J].Energy Policy(IF 2.743), 2003, Vol.31 (8), pp.691-701Elsevier
摘要:Abstract(#br)Recent studies on global warming have introduced the inherent uncertainties associated with the costs and benefits of climate policies and have often shown that abatement policies are likely to be less aggressive or postponed in comparison to those resulting fro...
作者:Pauline Barrieu , Marc Chesney
来源:[J].Environmental Modeling and Assessment(IF 0.977), 2003, Vol.8 (3), pp.149-163Springer
摘要:Abstract(#br)In this paper, the problem of optimal timing, when to adopt an environmental policy in a strategic framework is considered. Using real options theory and some basic tools of game theory, we show that, under certain assumptions, a country behaving strategically should...
作者:Mei Wang , Abraham Bernstein , Marc Chesney
来源:[J].Quantitative Finance(IF 0.824), 2012, Vol.12 (11), pp.1753-1772Taylor & Francis
摘要:We conduct a laboratory experiment to study whether people intuitively use real-option strategies in a dynamic investment setting. The participants were asked to play as an oil manager and make production decisions in response to a simulated mean-reverting oil price. Using c...
作者:Marc Chesney , Bharat Hazari
来源:[J].Journal of Mathematical Economics(IF 0.321), 1998, Vol.29 (1), pp.1-13Elsevier
摘要:Abstract(#br)This paper sets up a model for analysing the problem of rational exit where the stopping time itself is part of the integration problem. The model development is for the case of smoking. Smoking produces pleasure, pain and addiction. Our model captures all these...
作者:Marc Chesney , Laurent Gauthier
来源:[J].Finance and Stochastics(IF 1.212), 2006, Vol.10 (4), pp.475-506Springer
摘要:Abstract(#br)In this article, we describe the various sorts of American Parisian options and propose valuation formulae. Although there is no closed-form valuation for these products in the non-perpetual case, we have been able to reformulate their price as a function of the exer...
作者:Marc Chesney , Monique Jeanblanc-Picqué , Marc Yor
来源:[J].Advances in Applied Probability(IF 0.9), 1997, Vol.29 (1), pp.165-184Cambridge U Press
摘要:In this paper we study a new kind of option, called hereinafter a Parisian barrier option. This option is the following variant of the so-called barrier option: a down-and-out barrier option becomes worthless as soon as a barrier is reached, whereas a down-and-out Parisian barrie...

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