19 citations · 19 across the 3 of their papers we have counts for
Showing q-fin.PRShow all
2 papers · 1 filter
q-fin.PR2017
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…
q-fin.PR2016★ 19 cited
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…