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~isPartOf:"International journal of financial engineering"
~isPartOf:"International journal of theoretical and applied finance"
~person:"Bojarčenko, Svetlana I."
~person:"Levendorskij, Sergej Z."
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Option pricing theory
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Option trading
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Wiener-Hopf factorization
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Bojarčenko, Svetlana I.
Levendorskij, Sergej Z.
Gapeev, Pavel V.
7
Jeanblanc, Monique
7
Leung, Tim
6
Takahashi, Akihiko
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Fabozzi, Frank J.
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Liu, Rui Hua
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International journal of financial engineering
International journal of theoretical and applied finance
Mathematical finance : an international journal of mathematics, statistics and financial theory
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
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Applied mathematical finance
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Project flexibility, agency, and competition : new developments in the theory and application of real options
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ECONIS (ZBW)
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1
Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
22
(
2019
)
3
,
pp. 1-49
Persistent link: https://www.econbiz.de/10012019776
Saved in:
2
Ultra-fast pricing barrier options and CDSs
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
20
(
2017
)
5
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011734044
Saved in:
3
Method of paired contours and pricing barrier options and CDSs of long maturities
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
17
(
2014
)
5
,
pp. 1-58
Persistent link: https://www.econbiz.de/10010437194
Saved in:
4
Efficient pricing and reliable calibration in the Heston model
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
15
(
2012
)
7
,
pp. 1-44
Persistent link: https://www.econbiz.de/10009685887
Saved in:
5
Prices of barrier and first-touch digital options in Lévy-driven models, near barrier
Boyarchenko, Mitya
;
Innocentis, Marco de
;
Levendorskij, …
- In:
International journal of theoretical and applied finance
14
(
2011
)
7
,
pp. 1045-1090
Persistent link: https://www.econbiz.de/10009407673
Saved in:
6
Double barrier options in regime-switching hyper-exponential jump-diffusion models
Boyarchenko, Mitya
;
Bojarčenko, Svetlana I.
- In:
International journal of theoretical and applied finance
14
(
2011
)
7
,
pp. 1005-1043
Persistent link: https://www.econbiz.de/10009407678
Saved in:
7
Pricing of first touch digitals under normal inverse Gaussian processes
Kudryavtsev, Oleg
;
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
9
(
2006
)
6
,
pp. 915-949
Persistent link: https://www.econbiz.de/10003380303
Saved in:
8
Option pricing for truncated Lévy processes
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
3
(
2000
)
3
,
pp. 549-552
Persistent link: https://www.econbiz.de/10001524333
Saved in:
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