19 citations · 20 across the 9 of their papers we have counts for
7 papers · 1 filter
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…
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…
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…