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Closed form optimal exercise boundary of the American put option
Kitapbayev, Yerkin - In: International journal of theoretical and applied finance 24 (2021) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10012650204
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Optimal investment under cost uncertainty
Detemple, Jerome; Kitapbayev, Yerkin - In: Risks 6 (2018) 1, pp. 1-19
This paper studies the valuation of real options when the cost of investment jumps at a random time. Three valuation formulas are derived. The first expresses the value of the project in terms of a collection of knockout barrier claims. The second identifies the premium relative to a project...
Persistent link: https://www.econbiz.de/10011996566
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The value of green energy under regulation uncertainty
Detemple, Jérôme B.; Kitapbayev, Yerkin - In: Energy economics 89 (2020), pp. 1-14
Persistent link: https://www.econbiz.de/10012517067
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Callable barrier reverse convertible securities
Detemple, Jérôme B.; Kitapbayev, Yerkin - In: Quantitative finance 21 (2021) 9, pp. 1519-1532
Persistent link: https://www.econbiz.de/10012624152
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On the American swaption in the linear-rational framework
Filipović, Damir; Kitapbayev, Yerkin - In: Quantitative finance 18 (2018) 11, pp. 1865-1876
Persistent link: https://www.econbiz.de/10012262857
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The value of green energy : optimal investment in mutually exclusive projects and operating leverage
Detemple, Jérôme B.; Kitapbayev, Yerkin - In: The review of financial studies 33 (2020) 7, pp. 3307-3347
Persistent link: https://www.econbiz.de/10012248922
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On American VIX options under the generalized 3/2 and 1/2 models
Detemple, Jérôme B.; Kitapbayev, Yerkin - In: Mathematical finance : an international journal of … 28 (2018) 2, pp. 550-581
Persistent link: https://www.econbiz.de/10011969085
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Optimal mean-reverting spread trading : nonlinear integral equation approach
Kitapbayev, Yerkin; Leung, Tim - In: Annals of finance 13 (2017) 2, pp. 181-203
Persistent link: https://www.econbiz.de/10011944976
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Mean reversion trading with sequential deadlines and transaction costs
Kitapbayev, Yerkin; Leung, Tim - In: International journal of theoretical and applied finance 21 (2018) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10011846482
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Optimal investment under cost uncertainty
Detemple, Jérôme B.; Kitapbayev, Yerkin - In: Risks : open access journal 6 (2018) 1, pp. 1-19
This paper studies the valuation of real options when the cost of investment jumps at a random time. Three valuation formulas are derived. The first expresses the value of the project in terms of a collection of knockout barrier claims. The second identifies the premium relative to a project...
Persistent link: https://www.econbiz.de/10011811536