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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

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

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

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

Barrier options and touch-and-out options under regular Lévy processes of exponential type

Bojarčenko, Svetlana I. (contributor); … - 2000 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001543244

Practical guide to real options in discrete time

Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: International economic review 48 (2007) 1, pp. 311-342

Persistent link: https://www.econbiz.de/10003446769

American options in the Heston model with stochastic interest rate and its generalizations

Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: Applied mathematical finance 20 (2013) 1/2, pp. 26-49

Persistent link: https://www.econbiz.de/10009737181

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

American options in Lévy models with stochastic interest rates

Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: The journal of computational finance 12 (2009) 4, pp. 51-89

Persistent link: https://www.econbiz.de/10009534611

Efficient Inverse Z-Transform and Pricing Barrier and Lookback Options With Discrete Monitoring

Boyarchenko, Svetlana; Levendorskii, Sergei - 2022

We prove simple general formulas for expectations of functions of a random walk and its running extremum. Under additional conditions, we derive analytical formulas using the inverse $Z$-transform, the Fourier/Laplace inversion and Wiener-Hopf factorization, and discuss efficient numerical...

Persistent link: https://www.econbiz.de/10013404480