19 citations · 20 across the 9 of their papers we have counts for
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q-fin.CP2024
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…
math.OC2024
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…