1 citations · 2 across the 4 of their papers we have counts for
4 papers
A Unified Framework for Pricing Credit and Equity Derivatives
Erhan Bayraktar, Bo Yang
We propose a model which can be jointly calibrated to the corporate bond term structure and equity option volatility surface of the same company. Our purpose is to obtain explicit…
Sequential Tracking of a Hidden Markov Chain Using Point Process Observations
Erhan Bayraktar, Mike Ludkovski
We study finite horizon optimal switching problems for hidden Markov chain models under partially observable Poisson processes. The controller possesses a finite range of strategie…
Pricing Asian Options for Jump Diffusions
Erhan Bayraktar, Hao Xing
We construct a sequence of functions that uniformly converge (on compact sets) to the price of Asian option, which is written on a stock whose dynamics follows a jump diffusion, ex…
An Analysis of Monotone Follower Problems for Diffusion Processes
Erhan Bayraktar, Masahiko Egami
We consider a singular stochastic control problem, which is called the Monotone Follower Stochastic Control Problem and give sufficient conditions for the existence and uniqueness…