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Boyarchenko, Svetlana's
Scholarly Papers
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Total
Downloads
7,420 |
Total
Citations
185 |
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1.
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Boyarchenko, Svetlana
University of Texas at Austin - Department of Economics Levendorskii, Sergei
University of Leicester - Department of Mathematics
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887
(11,143)
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3
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Optimal stopping, American options, regime switching,stochastic volatility models, Heston model,stochastic interest rate, CIR process
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2.
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Practical Guide to Real Options in Discrete Time
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Boyarchenko, Svetlana
University of Texas at Austin - Department of Economics Levendorskii, Sergei
University of Leicester - Department of Mathematics
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Posted:
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06 Mar 04
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Last Revised:
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18 Mar 07
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649
(17,794)
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16
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Boyarchenko, Svetlana
University of Texas at Austin - Department of Economics Levendorskii, Sergei
University of Leicester - Department of Mathematics
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28
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16
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Boyarchenko, Svetlana
University of Texas at Austin - Department of Economics Levendorskii, Sergei
University of Leicester - Department of Mathematics
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621
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16
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Real options, embedded options, expected present value operators
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3.
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Boyarchenko, Mitya
University of Michigan - Department of Mathematics Boyarchenko, Svetlana
University of Texas at Austin - Department of Economics
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488
(26,261)
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3
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Option pricing, double barrier options, double-no-touch options, Levy processes, Kou's model, hyper-exponential jump-diffusions, Carr's randomization, Canadization, Wiener-Hopf factorization
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4.
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Boyarchenko, Svetlana
University of Texas at Austin - Department of Economics Levendorskii, Sergei
University of Leicester - Department of Mathematics
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468
(27,729)
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20
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Real options, random walks on lattices, expected present value operators
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5.
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Boyarchenko, Svetlana
University of Texas at Austin - Department of Economics Levendorskii, Sergei
University of Leicester - Department of Mathematics
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449
(29,326)
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10
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optimal stopping, American options, finite time horizon, regime switching, Levy processes, stochastic volatility models, stochastic interest rate models
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6.
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Boyarchenko, Svetlana
University of Texas at Austin - Department of Economics Levendorskii, Sergei
University of Leicester - Department of Mathematics
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| Posted: |
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20 Nov 07
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Last Revised:
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12 May 08
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358
(38,945)
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4
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optimal stopping, American options, regime switching, Levy processes, stochastic volatility models, Heston model, Bates model
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7.
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Boyarchenko, Svetlana
University of Texas at Austin - Department of Economics Levendorskii, Sergei
University of Leicester - Department of Mathematics
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322
(44,265)
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13
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Real options, embedded options, expected present value operators
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8.
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Boyarchenko, Svetlana
University of Texas at Austin - Department of Economics Levendorskii, Sergei
University of Leicester - Department of Mathematics
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268
(54,729)
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10
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regime switching, Levy processes, real options, exit problems
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9.
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Boyarchenko, Svetlana
University of Texas at Austin - Department of Economics Levendorskii, Sergei
University of Leicester - Department of Mathematics
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260
(56,646)
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credit default swaps, counterparty risk, asymmetric information
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10.
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Boyarchenko, Svetlana
University of Texas at Austin - Department of Economics Levendorskii, Sergei
University of Leicester - Department of Mathematics
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245
(60,407)
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19
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Levy processes, option pricing, dividend paying assets
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11.
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Boyarchenko, Svetlana
University of Texas at Austin - Department of Economics Levendorskii, Sergei
University of Leicester - Department of Mathematics
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| Posted: |
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24 May 11
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Last Revised:
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06 Jun 11
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229
(64,986)
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5
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European Options, Greeks, FFT, Inverse Fourier Transform, COS, CONV, KoBoL, CGMY, VG Model, Hyperbolic iFT Method, Parabolic iFT Method
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12.
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Boyarchenko, Svetlana
University of Texas at Austin - Department of Economics Levendorskii, Sergei
University of Leicester - Department of Mathematics
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225
(66,205)
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10
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optimal stopping, American options, regime switching, Levy processes, stochastic volatility models, stochastic interest rate models
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13.
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Boyarchenko, Svetlana
University of Texas at Austin - Department of Economics Levendorskii, Sergei
University of Leicester - Department of Mathematics
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215
(69,385)
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8
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optimal stopping, American options, regime switching, Lévy processes, stochastic interest rate models, quadratic term structure models
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14.
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Boyarchenko, Svetlana
University of Texas at Austin - Department of Economics Levendorskii, Sergei
University of Leicester - Department of Mathematics
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194
(76,971)
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7
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optimal stopping, American options, regime switching, Lévy processes, stochastic interest rate models, Vasicek model, Black's model, Ornstein-Uhlenbeck driven models, affine term structure models
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15.
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Boyarchenko, Mitya
University of Michigan - Department of Mathematics Boyarchenko, Svetlana
University of Texas at Austin - Department of Economics
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| Posted: |
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31 Jul 09
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Last Revised:
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10 Aug 09
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187
(79,763)
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3
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Option pricing, double barrier options, double-no-touch options, Levy processes, Kou's model, hyper-exponential jump-diffusions, regime switching, stochastic volatility, stochastic interest rates, Carr's randomization, Canadization, analytic method of lines, Wiener-Hopf factorization
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16.
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Boyarchenko, Svetlana
University of Texas at Austin - Department of Economics Levendorskii, Sergei
University of Leicester - Department of Mathematics
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182
(81,819)
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Time preference, discounted utility anomalies, decision-making under uncertainty, optimal stopping
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17.
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Boyarchenko, Svetlana
University of Texas at Austin - Department of Economics Levendorskii, Sergei
University of Leicester - Department of Mathematics
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179
(83,077)
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2
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Exit and entry, emdebbed options, technology adoption, capital expansion
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18.
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Boyarchenko, Svetlana
University of Texas at Austin - Department of Economics Levendorskii, Sergei
University of Leicester - Department of Mathematics
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173
(85,879)
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16
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Levy processes, optimal stopping, general payoffs
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19.
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Boyarchenko, Svetlana
University of Texas at Austin - Department of Economics Levendorskii, Sergei
University of Leicester - Department of Mathematics
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167
(88,711)
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3
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optimal stopping, American options, regime switching, Levy processes, stochastic interest rate, CIR model
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20.
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Boyarchenko, Svetlana
University of Texas at Austin - Department of Economics Levendorskii, Sergei
University of Leicester - Department of Mathematics
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| Posted: |
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01 May 08
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Last Revised:
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29 Jul 08
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163
(90,732)
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6
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optimal stopping, American options, finite time horizon, regime switching, Levy models, stochastic volatility models, stochastic interest rate models
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21.
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Boyarchenko, Svetlana
University of Texas at Austin - Department of Economics
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162
(91,215)
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2
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Real options, menu of options
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22.
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Boyarchenko, Svetlana
University of Texas at Austin - Department of Economics Levendorskii, Sergei
University of Leicester - Department of Mathematics
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125
(114,045)
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13
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embedded options, technology adoption, capital expansion
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23.
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Boyarchenko, Svetlana
University of Texas at Austin - Department of Economics Levendorskii, Sergei
University of Leicester - Department of Mathematics
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123
(115,567)
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2
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Levy processes, option pricing, dividend paying assets
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24.
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Boyarchenko, Svetlana
University of Texas at Austin - Department of Economics
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118
(119,411)
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3
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strangles, barrier options, jump-diffusion processes, two-point boundary problem
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25.
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Boyarchenko, Svetlana
University of Texas at Austin - Department of Economics Levendorskii, Sergei
University of Leicester - Department of Mathematics
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105
(130,456)
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Levy processes, Wiener-Hopf factorization, lookbacks, KoBoL, CGMY
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26.
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Boyarchenko, Svetlana
University of Texas at Austin - Department of Economics Levendorskii, Sergei
University of Leicester - Department of Mathematics
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102
(133,166)
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1
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real options, time preference, discounted utility anomalies
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27.
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Boyarchenko, Svetlana
University of Texas at Austin - Department of Economics Levendorskii, Sergei
University of Leicester - Department of Mathematics
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| Posted: |
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22 Mar 10
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Last Revised:
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06 Apr 10
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70
(169,128)
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time preference, discounted utility anomalies
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28.
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Boyarchenko, Svetlana
University of Texas at Austin - Department of Economics
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69
(170,494)
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1
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Exit and entry, size distribution, age distribution, industry dynamics
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29.
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Boyarchenko, Svetlana
University of Texas at Austin - Department of Economics Levendorskii, Sergei
University of Leicester - Department of Mathematics
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65
(176,039)
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1
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hyperbolic discounting, bid-ask asymmetry, gain-loss asymmetries
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30.
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Boyarchenko, Svetlana
University of Texas at Austin - Department of Economics Levendorskii, Sergei
University of Leicester - Department of Mathematics
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62
(180,470)
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1
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Optimal stopping, Levy processes, non-monotone an discontinuous payoffs
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31.
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Boyarchenko, Svetlana
University of Texas at Austin - Department of Economics
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57
(188,321)
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endogenous exit, endogenous default, industry equilibrium
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32.
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Boyarchenko, Svetlana
University of Texas at Austin - Department of Economics Levendorskii, Sergei
University of Leicester - Department of Mathematics
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54
(193,276)
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3
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stopping time games, preemption, Levy uncertainty
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