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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

Consistency conditions for affine term structure models : II. option pricing under diffusions with embedded jumps

Levendorskij, Sergej Z. - In: Annals of finance 2 (2006) 2, pp. 207-224

Persistent link: https://www.econbiz.de/10003282260

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

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

On errors and bias of Fourier transform methods in quadratic term structure models

Boyarchenko, Nina; Levendorskij, Sergej Z. - In: International journal of theoretical and applied finance 10 (2007) 2, pp. 273-306

Persistent link: https://www.econbiz.de/10003441974

American Options in Levy Models With Stochastic Interest Rate of CIR-Type

Boyarchenko, Svetlana; Levendorskii, Sergei - 2007

A general numerical method for pricing American options in regime switching jump diffusion models of stock dynamics with stochastic interest rates and/or volatility is developed. Time derivative and infinitesimal generator of the process for factors that determine the dynamics of the interest...

Persistent link: https://www.econbiz.de/10014222457