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Practical guide to real options in discrete time

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

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Sinh-Acceleration : Efficient Evaluation of Probability Distributions, Option Pricing, and Monte-Carlo Simulations

Boyarchenko, Svetlana - 2018

Characteristic functions of several popular classes of distributions and processes admit analytic continuation into unions of strips and open coni around the line of integration in the complex plane.The Fourier transform techniques reduces calculation of probability distributions and option...

Persistent link: https://www.econbiz.de/10012926592

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

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Entry and exit strategies under non-gaussian distributions

Bojarčenko, Svetlana I.; Levendorskiǐ, Sergei Z. - In: Project flexibility, agency, and competition : new …, (pp. 71-84). 2000

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