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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

Stochastic control and real options valuation of thermal storage-enabled demand response from flexible district energy systems

Kitapbayev, Yerkin; Moriarty, John; Mancarella, Pierluigi - In: Applied Energy 137 (2015) C, pp. 823-831

In district energy systems powered by Combined Heat and Power (CHP) plants, thermal storage can significantly increase CHP flexibility to respond to real time market signals and therefore improve the business case of such demand response schemes in a Smart Grid environment. However, main...

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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

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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

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On the optimal exercise boundaries of swing put options

De Angelis, Tiziano; Kitapbayev, Yerkin - In: Mathematics of operations research 43 (2018) 1, pp. 252-274

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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

On the American swaption in the linear-rational framework

Filipović, Damir; Kitapbayev, Yerkin - In: Quantitative finance 18 (2018) 11, pp. 1865-1876

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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

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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

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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