15 citations · 66 across the 31 of their papers we have counts for
5 papers · 1 filter
Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit
Andrey Itkin, Dmitry Muravey
We continue a series of papers devoted to construction of semi-analytic solutions for barrier options. These options are written on underlying following some simple one-factor diff…
From the Black-Karasinski to the Verhulst model to accommodate the unconventional Fed's policy
A. Itkin, A. Lipton, D. Muravey
In this paper, we argue that some of the most popular short-term interest models have to be revisited and modified to reflect current market conditions better. In particular, we pr…
Semi-closed form prices of barrier options in the time-dependent CEV and CIR models
Peter Carr, Andrey Itkin, Dmitry Muravey
We continue a series of papers where prices of the barrier options written on the underlying, which dynamics follows some one factor stochastic model with time-dependent coefficien…
Semi-closed form prices of barrier options in the Hull-White model
Andrey Itkin, Dmitry Muravey
In this paper we derive semi-closed form prices of barrier (perhaps, time-dependent) options for the Hull-White model, ie., where the underlying follows a time-dependent OU process…
Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process
Peter Carr, Andrey Itkin
In this paper we develop a semi-closed form solutions for the barrier (perhaps, time-dependent) and American options written on the underlying stock which follows a time-dependent…