Michèle Breton

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We propose a new numerical method for evaluating long-maturity American put options. Most existing numerical approaches are based on the time discretization...

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This paper proposes a dynamic game model of the process through which countries join international environmental agreements (IEAs). The model assumes that ...

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This paper analyzes the coalitional Great Fish War model under the assumption that players differ in their time preferences and use different discount rate...

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Under some standard market assumptions, evaluating a derivative implies computing the discounted expected value of its future cash flows. In that context, th...

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We consider a duopoly competing in quantity, where firms can invest in both innovative and absorptive R&D to reduce their unit production cost, and where t...

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It is now well known that in order to solve global environmental problems, such as global warming, a volunteer participation of sovereign countries to inte...

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We study the welfare effects of Price Cap Regulation (PCR) and the strategic behaviour it may induce in gas transportation networks by analyzing a stylized g...

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We extend the contingent claims framework for the levered firm in explicitly modeling the resolution of financial distress under formal bankruptcy as a non-c...

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We develop a contingent claims model of a firm in financial distress with a formal account for renegotiations under the Chapter 11 bankruptcy procedure. Sh...

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This paper reviews the use of Fourier transform methods in the pricing of contingent claims. This is a very promosing topic in finance, given the scarcity ...

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We explore the implications of the farsightedness assumption on the conjectures of players in a coalitional Great Fish War model with symmetric players, deri...

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The aim of this paper is to investigate the pricing of the Chicago Board of Trade Treasury-Bond futures. The difficulty to price it arises from its multiple ...

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In this paper, we propose a Partial Differential Equation formulation for the value of an option when the underlying asset's price is described by a discrete...

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In this paper we use a dynamic model to analyze the composition and stability of international environmental agreements (IEAs) in an asymmetrical framework. ...

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In this paper we develop a model to analyze, in a dynamic framework, how countries join international environmental agreements (IEAs). In the model, where co...

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The main purpose of this paper is to apply the True Notional Bond System (TNBS) proposed by Oviedo (2006) for the theoretical pricing of the Chicago Board ...

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This paper analyzes competition between mutual funds in a multiple funds version of the model of Hugonnier and Kaniel [18]. We characterize the set of equili...

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We use a stylized gas system to study the use of access-to-gas storage in a seasonal model. In a duopoly setting, we find that welfare is higher under vert...

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In this paper, we develop an efficient algorithm to price options under discrete time GARCH processes. We propose a procedure based on dynamic programming c...

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This paper proposes a two-player, finite-horizon differential game model to analyze joint implementation in environmental projects, one of the flexible mech...

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