64 citations · 410 across the 142 of their papers we have counts for
21 papers · 1 filter
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…
Analysis of the optimal exercise boundary of American options for jump diffusions
Erhan Bayraktar, Hao Xing
In this paper we show that the optimal exercise boundary / free boundary of the American put option pricing problem for jump diffusions is continuously differentiable (except at th…
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…
On the One-Dimensional Optimal Switching Problem
Erhan Bayraktar, Masahiko Egami
We explicitly solve the optimal switching problem for one-dimensional diffusions by directly employing the dynamic programming principle and the excessive characterization of the v…
Pricing American Options for Jump Diffusions by Iterating Optimal Stopping Problems for Diffusions
Erhan Bayraktar, Hao Xing
We approximate the price of the American put for jump diffusions by a sequence of functions, which are computed iteratively. This sequence converges to the price function uniformly…