4 papers
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…
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…