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Efficient Laplace inversion, Wiener-Hopf factorization and pricing lookbacks
Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: International journal of theoretical and applied finance 16 (2013) 3, pp. 1-40
Persistent link: https://www.econbiz.de/10009756073
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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
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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
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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
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Sinh-acceleration for B-spline projection with option pricing applications
Bojarčenko, Svetlana I.; Levendorskij, Sergej Z.; … - In: International journal of theoretical and applied finance 24 (2021) 8, pp. 1-50
Persistent link: https://www.econbiz.de/10012887408