19 citations · 20 across the 9 of their papers we have counts for
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q-fin.PR2016
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…
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…