19 citations · 20 across the 9 of their papers we have counts for
14 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…
Floating exercise boundaries for American options in time-inhomogeneous models
Andrey Itkin, Yerkin Kitapbayev
This paper examines a semi-analytical approach for pricing American options in time-inhomogeneous models characterized by negative interest rates (for equity/FX) or negative conven…
Semi-analytical pricing of options written on SOFR futures
Andrey Itkin, Yerkin Kitapbayev
In this paper, we propose a semi-analytical approach to pricing options on SOFR futures where the underlying SOFR follows a time-dependent CEV model. By definition, these options c…
An irreversible investment problem with a learning-by-doing feature
Erik Ekström, Yerkin Kitapbayev, Alessandro Milazzo +1
We study a model of irreversible investment for a decision-maker who has the possibility to gradually invest in a project with unknown value. In this setting, we introduce and expl…
On the valuation of multiple reset options: integral equation approach
Nazym Azimbayev, Yerkin Kitapbayev
In this paper, we study a pricing problem of the multiple reset put option, which allows the holder to reset several times a current strike price to obtain an at-the-money European…
Mortgage Contracts and Underwater Default
Yerkin Kitapbayev, Scott Robertson
We analyze recently proposed mortgage contracts that aim to eliminate selective borrower default when the loan balance exceeds the house price (the ``underwater'' effect). We show…
Closed form optimal exercise boundary of the American put option
Yerkin Kitapbayev
We present three models of stock price with time-dependent interest rate, dividend yield, and volatility, respectively, that allow for explicit forms of the optimal exercise bounda…
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…
Mean Reversion Trading with Sequential Deadlines and Transaction Costs
Yerkin Kitapbayev, Tim Leung
We study the optimal timing strategies for trading a mean-reverting price process with afinite deadline to enter and a separate finite deadline to exit the market. The price proces…
Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach
Tim Leung, Yerkin Kitapbayev
We study several optimal stopping problems that arise from trading a mean-reverting price spread over a finite horizon. Modeling the spread by the Ornstein-Uhlenbeck process, we an…
On the American swaption in the linear-rational framework
Damir Filipovic, Yerkin Kitapbayev
We study American swaptions in the linear-rational (LR) term structure model introduced in [5]. The American swaption pricing problem boils down to an optimal stopping problem that…
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…
Integral equations for Rost's reversed barriers: existence and uniqueness results
Tiziano De Angelis, Yerkin Kitapbayev
We establish that the boundaries of the so-called Rost's reversed barrier are the unique couple of left-continuous monotonic functions solving a suitable system of nonlinear integr…
On the optimal exercise boundaries of swing put options
Tiziano De Angelis, Yerkin Kitapbayev
We use probabilistic methods to characterise time dependent optimal stopping boundaries in a problem of multiple optimal stopping on a finite time horizon. Motivated by financial a…