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20142026
most citedOn American VIX options under the generalized 3/2 and 1/2 models

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math.PR2026

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…