Zobrazeno 1 - 10
of 136
pro vyhledávání: '"Detemple, Jérôme"'
Autor:
Detemple, Jerome, Robertson, Scott
We study a continuous time economy where agents have asymmetric information. The informed agent (``$I$''), at time zero, receives a private signal about the risky assets' terminal payoff $\Psi(X_T)$, while the uninformed agent (``$U$'') has no privat
Externí odkaz:
http://arxiv.org/abs/2211.15573
Publikováno v:
In Energy Economics August 2024 136
Akademický článek
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Publikováno v:
In Journal of Economic Dynamics and Control August 2022 141
Autor:
Detemple, Jerome, Kitapbayev, Yerkin
This paper examines the valuation of American capped call options with two-level caps. The structure of the immediate exercise region is significantly more complex than in the classical case with constant cap. When the cap grows over time, making ext
Externí odkaz:
http://arxiv.org/abs/1707.06138
Publikováno v:
Econometrica, 2020 Nov 01. 88(6), 2697-2737.
Externí odkaz:
https://www.jstor.org/stable/48628755
Autor:
Detemple, Jerome, Kitapbayev, Yerkin
In this paper, we extend the 3/2-model for VIX studied by Goard and Mazur (2013) and introduce the generalized 3/2 and 1/2 classes of volatility processes. Under these models, we study the pricing of European and American VIX options and, for the lat
Externí odkaz:
http://arxiv.org/abs/1606.00530