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Efficent pricing of barrier options and credit default swapts in Lévy models with stochastic interest rate
Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: Mathematical finance : an international journal of … 27 (2017) 4, pp. 1089-1123
Persistent link: https://www.econbiz.de/10011765022
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The eigenfunction expansion method in multi-factor quadratic term structure models
Boyarchenko, Nina; Levendorskij, Sergej Z. - In: Mathematical finance : an international journal of … 17 (2007) 4, pp. 503-539
Persistent link: https://www.econbiz.de/10003626604
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Pseudodiffusions and quadratic term structure models
Levendorskij, Sergej Z. - In: Mathematical finance : an international journal of … 15 (2005) 3, pp. 393-424
Persistent link: https://www.econbiz.de/10002983089
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THE EIGENFUNCTION EXPANSION METHOD IN MULTI-FACTOR QUADRATIC TERM STRUCTURE MODELS
Boyarchenko, Nina; Levendorskii, Sergei - In: Mathematical finance : an international journal of … 17 (2007) 4, pp. 503-540
Persistent link: https://www.econbiz.de/10008221612
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Valuation of continuously monitored double barrier options and related securities
Boyarchenko, Mitya; Levendorskij, Sergej Z. - In: Mathematical finance : an international journal of … 22 (2012) 3, pp. 419-444
Persistent link: https://www.econbiz.de/10009613187