19 citations · 19 across the 3 of their papers we have counts for
4 papers
On the First Hitting Time Problems for Diffusion Processes: Local Time-Space Approach
Jerome Detemple, Yerkin Kitapbayev, Danila Shabalin
Using the local time-space calculus of Peskir (2005) and the method developed in Mijatovic (2010), we derive a new integral representation for the backward probability associated w…
Dynamic Equilibrium with Insider Information and General Uninformed Agent Utility
Jerome Detemple, Scott Robertson
We study a continuous time economy where agents have asymmetric information. The informed agent (``''), at time zero, receives a private signal about the risky assets' terminal…
American Options with Discontinuous Two-Level Caps
Jerome Detemple, Yerkin Kitapbayev
This paper examines the valuation of American capped call options with two-level caps. The structure of the immediate exercise region is significantly more complex than in the clas…
On American VIX options under the generalized 3/2 and 1/2 models
Jerome Detemple, Yerkin Kitapbayev
In this paper, we extend the 3/2-model for VIX studied by Goard and Mazur (2013) and introduce the generalized 3/2 and 1/2 classes of volatility processes. Under these models, we s…