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General option exercise rules, with applications to embedded options and monopolistic expansion

Boyarchenko, Svetlana; Levendorskii, Sergei - Society for Economic Dynamics - SED - 2006

This paper provides a general framework for pricing of real options in continuous time for wide classes of payoff streams that are functions of Levy processes. As applications, we calculate the option values of multi-stage investment/disinvestment problems (sequences of embedded options, which...

Persistent link: https://www.econbiz.de/10005069272

General option exercise rules, with applications to embedded options and monopolistic expansion

Boyarchenko, Svetlana; Levendorskii, Sergei - EconWPA - 2005

Persistent link: https://www.econbiz.de/10005076973

Real options and the universal bad news principle

Boyarchenko, Svetlana; Levendorskii, Sergei - UCLA Department of Economics - 2004

Persistent link: https://www.econbiz.de/10005708429

American options: the EPV pricing model

Boyarchenko, Svetlana; Levendorskii, Sergei - In: Annals of Finance 1 (2005) 3, pp. 267-292

Persistent link: https://www.econbiz.de/10005673953

Pitfalls of the fourier transform method in affine models, and remedies

Levendorskij, Sergej Z. - In: Applied mathematical finance 23 (2016) 1/2, pp. 81-134

Persistent link: https://www.econbiz.de/10011546994

Efficient pricing and reliable calibration in the Heston model

Levendorskij, Sergej Z. - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-44

Persistent link: https://www.econbiz.de/10009685887

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

Preemption games under Lévy uncertainty

Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: Games and economic behavior 88 (2014), pp. 354-380

Persistent link: https://www.econbiz.de/10011292563

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

Method of paired contours and pricing barrier options and CDSs of long maturities

Levendorskij, Sergej Z. - In: International journal of theoretical and applied finance 17 (2014) 5, pp. 1-58

Persistent link: https://www.econbiz.de/10010437194