Yerkin Kitapbayev

North Carolina State University

Hillsborough Street

Raleigh, NC 27695

United States

SCHOLARLY PAPERS

11

DOWNLOADS

891

SSRN CITATIONS

8

CROSSREF CITATIONS

1

Scholarly Papers (11)

1.

Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach

Annals of Finance, Volume 13, Issue 2, pp 181–203, May 2017
Number of pages: 23 Posted: 27 Dec 2016 Last Revised: 18 Feb 2019
Yerkin Kitapbayev and Tim Leung
North Carolina State University and University of Washington - Department of Applied Math
Downloads 260 (146,847)
Citation 3

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spread trading, optimal stopping, OU process, free-boundary problem, local timespace calculus, integral equation

2.

Mean Reversion Trading with Sequential Deadlines and Transaction Costs

International Journal of Theoretical and Applied FinanceVol. 21, No. 01, 1850004 (2018)
Number of pages: 22 Posted: 06 Jul 2017 Last Revised: 19 Feb 2019
Yerkin Kitapbayev and Tim Leung
North Carolina State University and University of Washington - Department of Applied Math
Downloads 212 (178,739)

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3.

On American VIX Options under the Generalized 3/2 and 1/2 Models

Number of pages: 34 Posted: 08 Feb 2017 Last Revised: 04 Apr 2017
Jerome Detemple and Yerkin Kitapbayev
Boston University Questrom School of Business and North Carolina State University
Downloads 111 (303,349)

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Stochastic Volatility, VIX, Generalized 3/2 and 1/2 Models, Generalized Mixture Models, American Options, Exercise Premium, Exercise Boundaries, Integral Equations, Local Time

4.

On the American Swaption in the Linear-Rational Framework

Forthcoming, Quantitative Finance, Swiss Finance Institute Research Paper No. 16-44
Number of pages: 26 Posted: 08 Jul 2016 Last Revised: 12 Mar 2018
Damir Filipović and Yerkin Kitapbayev
Ecole Polytechnique Fédérale de Lausanne and North Carolina State University
Downloads 93 (341,064)
Citation 1

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American swaption, swaption, swap, linear-rational term structure model, polynomial diffusion, optimal stopping, free-boundary problem, local time-space calculus, integral equation

5.

The Value of Green Energy under Regulation Uncertainty

Energy Economics, Forthcoming, https://doi.org/10.1016/j.eneco.2020.104807
Number of pages: 25 Posted: 02 Jun 2020 Last Revised: 09 Jun 2020
Jerome Detemple and Yerkin Kitapbayev
Boston University Questrom School of Business and North Carolina State University
Downloads 60 (436,339)

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green energy, wind plant, gas-fired plant, real options, subsidy, regulation uncertainty

Closed Form Optimal Exercise Boundary of the American Put Option

Number of pages: 16 Posted: 04 May 2020 Last Revised: 08 May 2020
Yerkin Kitapbayev
North Carolina State University
Downloads 38 (539,414)

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American put option, geometric Brownian motion, optimal stopping, free-boundary problem, integral equation

Closed Form Optimal Exercise Boundary of the American Put Option

Forthcoming in International Journal of Theoretical and Applied Finance
Number of pages: 16 Posted: 09 Mar 2021
Yerkin Kitapbayev
North Carolina State University
Downloads 15 (696,113)

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7.

American Options with Discontinuous Two-Level Caps

Number of pages: 32 Posted: 24 Jul 2017 Last Revised: 31 Oct 2017
Jerome Detemple and Yerkin Kitapbayev
Boston University Questrom School of Business and North Carolina State University
Downloads 50 (473,968)
Citation 2

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American capped option, optimal stopping, geometric Brownian motion, free-boundary problem, local time, integral equation

8.

Callable Barrier Reverse Convertible Securities

Forthcoming, Quantitative Finance, https://doi.org/10.1080/14697688.2021.1912380
Number of pages: 28 Posted: 17 Jun 2021
Jerome Detemple and Yerkin Kitapbayev
Boston University Questrom School of Business and North Carolina State University
Downloads 23 (614,654)

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Barrier reverse convertible claim, call provision, American put option, geometric Brownian motion, optimal stopping, free-boundary problem, early redemption discount, integral equation

9.

Mortgage Contracts and Underwater Default

Number of pages: 38 Posted: 04 Mar 2021 Last Revised: 01 Jun 2021
Yerkin Kitapbayev and Scott Robertson
North Carolina State University and Questrom School of Business, Boston University
Downloads 17 (656,909)

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10.

On the Optimal Exercise Boundaries of Swing Put Options

Forthcoming in Mathematics of Operational Research
Number of pages: 30 Posted: 19 Jul 2017
Tiziano De Angelis and Yerkin Kitapbayev
University of Manchester and North Carolina State University
Downloads 10 (710,212)

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11.

On American VIX Options Under the Generalized 3/2 and 1/2 Models

Mathematical Finance, Vol. 28, Issue 2, pp. 550-581, 2018
Number of pages: 32 Posted: 16 Mar 2018
Jérôme Detemple and Yerkin Kitapbayev
Boston University and North Carolina State University
Downloads 2 (774,925)
Citation 3
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Abstract:

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American options, exercise boundaries, exercise premium, generalized 3/2 and 1/2 models, generalized mixture models, integral equations, local time, stochastic volatility, VIX