Svetlana Boyarchenko

University of Texas at Austin - Department of Economics

Austin, TX 78712

United States

  • University of Texas at Austin - Department of Economics

SCHOLARLY PAPERS

57

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145

CROSSREF CITATIONS

117

Scholarly Papers (57)

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1.

American Options in the Heston Model With Stochastic Interest Rate

EFA 2008 Athens Meetings Paper
Number of pages: 22 Posted: 20 Nov 2007
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 1,159 (34,333)
Citation 10

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Optimal stopping, American options, regime switching,stochastic volatility models, Heston model,stochastic interest rate, CIR process

2.

Practical Guide to Real Options in Discrete Time

Number of pages: 28 Posted: 06 Mar 2004
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 718 (66,564)
Citation 8

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Real options, embedded options, expected present value operators

3.

User's Guide to Pricing Double Barrier Options. Part I: Kou's Model and Generalizations

Number of pages: 35 Posted: 23 Sep 2008
Mitya Boyarchenko and Svetlana Boyarchenko
University of Michigan - Department of Mathematics and University of Texas at Austin - Department of Economics
Downloads 636 (77,621)
Citation 9

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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

4.

American Options in Regime-Switching Models

Number of pages: 36 Posted: 11 Sep 2006
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 601 (83,282)
Citation 11

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optimal stopping, American options, finite time horizon, regime switching, Levy processes, stochastic volatility models, stochastic interest rate models

5.

Optimal Stopping Made Easy

Number of pages: 19 Posted: 29 Oct 2004
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 597 (83,989)
Citation 4

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Real options, random walks on lattices, expected present value operators

6.

New Efficient Versions of Fourier Transform Method in Applications to Option Pricing

Number of pages: 64 Posted: 24 May 2011 Last Revised: 06 Jun 2011
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 498 (105,424)
Citation 2

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European Options, Greeks, FFT, Inverse Fourier Transform, COS, CONV, KoBoL, CGMY, VG Model, Hyperbolic iFT Method, Parabolic iFT Method

7.

American Options in Levy Models with Stochastic Volatility

Number of pages: 36 Posted: 20 Nov 2007 Last Revised: 12 May 2008
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 489 (107,751)
Citation 6

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optimal stopping, American options, regime switching, Levy processes, stochastic volatility models, Heston model, Bates model

8.

Life Cycle of Startup Financing

Number of pages: 48 Posted: 28 Apr 2021
Svetlana Boyarchenko
University of Texas at Austin - Department of Economics
Downloads 485 (108,798)

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startup financing, venture capital, hump-shaped distributions

9.

Practical Guide to Real Options in Discrete Time Ii

Number of pages: 28 Posted: 04 Jan 2005
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 368 (150,147)
Citation 1

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Real options, embedded options, expected present value operators

10.

Exit Problems in Regime-Switching Models

Number of pages: 29 Posted: 08 Jun 2006
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 346 (160,139)
Citation 5

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regime switching, Levy processes, real options, exit problems

11.

Snowball Effect of a CDS Market

Number of pages: 27 Posted: 31 Jul 2009
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 335 (165,805)

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credit default swaps, counterparty risk, asymmetric information

12.

Perpetual American Options in Regime-Switching Models

Number of pages: 27 Posted: 06 Sep 2006
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 320 (174,146)
Citation 6

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optimal stopping, American options, regime switching, Levy processes, stochastic volatility models, stochastic interest rate models

13.

American Options: The Epv Pricing Model

Number of pages: 19 Posted: 19 May 2004
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 309 (180,601)
Citation 12

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Levy processes, option pricing, dividend paying assets

14.

American Options in Lévy Models with Stochastic Interest Rates

Number of pages: 31 Posted: 20 Sep 2007
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 303 (184,414)
Citation 7

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optimal stopping, American options, regime switching, Lévy processes, stochastic interest rate models, quadratic term structure models

15.

Double Barrier Options in Regime-Switching Hyper-Exponential Jump-Diffusion Models

Number of pages: 39 Posted: 31 Jul 2009 Last Revised: 10 Aug 2009
Mitya Boyarchenko and Svetlana Boyarchenko
University of Michigan - Department of Mathematics and University of Texas at Austin - Department of Economics
Downloads 278 (201,645)
Citation 2

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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

16.

Efficient Laplace Inversion, Wiener-Hopf Factorization and Pricing Lookbacks

Number of pages: 36 Posted: 04 Jan 2012
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 274 (204,666)
Citation 3

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Levy processes, Wiener-Hopf factorization, lookbacks, KoBoL, CGMY

17.

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

Number of pages: 37 Posted: 27 Nov 2007
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 263 (213,181)
Citation 5

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optimal stopping, American options, regime switching, Levy processes, stochastic interest rate, CIR model

18.

American Options in Regime-Switching Lévy Models With Non-Semibounded Stochastic Interest Rates

Number of pages: 6 Posted: 20 Sep 2007
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 252 (222,477)
Citation 8

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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

19.

A Theory of Endogenous Time Preference, and Discounted Utility Anomalies

Number of pages: 33 Posted: 20 Feb 2005
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 241 (232,440)

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Time preference, discounted utility anomalies, decision-making under uncertainty, optimal stopping

20.

Real Options and the Universal Bad News Principle

Number of pages: 34 Posted: 04 May 2004
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 236 (237,230)
Citation 2

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Exit and entry, emdebbed options, technology adoption, capital expansion

21.

Pricing American Options in Regime-Switching Models: FFT Realization

Number of pages: 23 Posted: 01 May 2008 Last Revised: 29 Jul 2008
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 228 (245,165)
Citation 3

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optimal stopping, American options, finite time horizon, regime switching, Levy models, stochastic volatility models, stochastic interest rate models

22.

Perpetual Put-Like and Call-Like American Options Under Levy Processes, and Incremental Capital Expansion

Number of pages: 17 Posted: 06 Mar 2004
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 224 (249,372)
Citation 14

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Levy processes, optimal stopping, general payoffs

23.

Buridan's Ass and a Menu of Options

Number of pages: 23 Posted: 05 Feb 2005
Svetlana Boyarchenko
University of Texas at Austin - Department of Economics
Downloads 207 (268,418)
Citation 2

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Real options, menu of options

24.

Two-Point Boundary Problems and Perpetual American Strangles in Jump-Diffusion Models

Number of pages: 24 Posted: 20 Apr 2006
Svetlana Boyarchenko
University of Texas at Austin - Department of Economics
Downloads 196 (281,962)
Citation 7

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strangles, barrier options, jump-diffusion processes, two-point boundary problem

25.

General Option Exercise Rules, with Applications to Embedded Options and Monopolistic Expansion

Number of pages: 40 Posted: 02 Nov 2005
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 174 (313,663)
Citation 4

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embedded options, technology adoption, capital expansion

26.

Discount Factors Ex Post and Ex Ante, and Discounted Utility Anomalies

Number of pages: 35 Posted: 04 Nov 2005
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 157 (342,462)
Citation 4

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real options, time preference, discounted utility anomalies

27.

Universal Bad News Principle and Pricing of Options on Dividend-Paying Assets

Number of pages: 24 Posted: 19 Mar 2004
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 156 (344,352)
Citation 1

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Levy processes, option pricing, dividend paying assets

28.

Preemption Games Under Levy Uncertainty

Downloads 143 (369,576)
Citation 10

Preemption Games Under Levy Uncertainty

Number of pages: 47 Posted: 15 May 2011
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 100 (486,324)
Citation 2

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stopping time games, preemption, Levy uncertainty

Preemption Games Under Levy Uncertainty

Games and Economic Behavior, Forthcoming
Number of pages: 41 Posted: 23 Oct 2014
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 43 (769,243)
Citation 4

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stopping time games, preemption, Levy uncertainty

29.

Efficient Pricing Barrier Options and CDS in Lévy Models with Stochastic Interest Rate

Number of pages: 29 Posted: 02 Jan 2015 Last Revised: 06 Dec 2015
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 134 (388,839)
Citation 1

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Stochastic interest rate, quadratic term structure models, L'evy processes, Wiener-Hopf factorization, barrier options, credit default swaps, parabolic inverse Laplace transform, parabolic inverse Fourier transform, quanto CDS

30.

Ambiguous Jump-Diffusions and Optimal Stopping

Number of pages: 41 Posted: 24 Oct 2014
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 128 (402,943)

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optimal stopping, jump-diffusion process, ambiguity

31.

Discounting When Income is Stochastic and Discounted Utility Anomalies

Number of pages: 24 Posted: 22 Mar 2010 Last Revised: 06 Apr 2010
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 122 (417,807)

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time preference, discounted utility anomalies

32.

Optimal Stopping in Levy Models, for Non-Monotone Discontinuous Payoffs

Number of pages: 24 Posted: 08 Sep 2010
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 119 (425,559)
Citation 1

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Optimal stopping, Levy processes, non-monotone an discontinuous payoffs

33.

Discount Factors Ex Post and Ex Ante, and Discounted Utility Anomalies II

Number of pages: 15 Posted: 14 Jan 2009
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 118 (428,299)

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hyperbolic discounting, bid-ask asymmetry, gain-loss asymmetries

34.

Firm Dynamics in a Competitive Industry

Number of pages: 33 Posted: 06 Jun 2006
Svetlana Boyarchenko
University of Texas at Austin - Department of Economics
Downloads 111 (448,285)
Citation 1

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Exit and entry, size distribution, age distribution, industry dynamics

35.

Industry Equilibrium with Random Exit or Default

Number of pages: 29 Posted: 18 May 2006
Svetlana Boyarchenko
University of Texas at Austin - Department of Economics
Downloads 106 (463,516)

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endogenous exit, endogenous default, industry equilibrium

36.

Poisson Bandits of Evolving Shade of Gray

Number of pages: 44 Posted: 24 Aug 2015
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 93 (506,290)
Citation 2

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two-armed Poisson bandits, optimal stopping, jump-diffusion processes

37.

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

Number of pages: 39 Posted: 05 Mar 2018 Last Revised: 09 May 2018
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 83 (543,251)
Citation 5

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sinh-regular Lévy processes, sinh-regular distributions, sinh-acceleration, Heston model, KoBoL, CGMY, CIR, CIR subordinator, Monte-Carlo simulations

38.

Strategic Experimentation with Erlang Bandits

Number of pages: 48 Posted: 17 Apr 2017
Svetlana Boyarchenko
University of Texas at Austin - Department of Economics
Downloads 82 (547,206)
Citation 2

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stopping time games, Erlang distribution, strategic experimentation

39.

Strategic Experimentation With Humped Bandits

Number of pages: 33 Posted: 18 May 2018
Svetlana Boyarchenko
University of Texas at Austin - Department of Economics
Downloads 65 (622,366)
Citation 2

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Stopping Time Games, Time-Inhomogeneous Poisson Process, Strategic Experimentation, Breakdowns, Breakthroughs

40.

New Families of Integral Representations and Efficient Evaluation of Stable Distributions

Number of pages: 52 Posted: 16 May 2018
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 60 (647,973)
Citation 2

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Stable Lévy Processes, PDF, CPDF, Quantile, Conformal Principal Components, Sinh-Acceleration, Simplified Trapezoid Rule, Simplified Conic Trapezoid Rule, Richardson Extrapolation, Signal Processing

41.

Perpetual American Options with Disconnected Exercise Regions in Lévy Models

Number of pages: 23 Posted: 29 Jul 2014
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 60 (647,973)

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Lévy processes, perpetual American options with additional barrier, perpetual straddles and strangles, Wiener-Hopf factorization, EPV operators

42.

Static and Semi-Static Hedging as Contrarian or Conformist Bets

Number of pages: 65 Posted: 14 Feb 2019
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 58 (658,660)
Citation 12

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Static Hedging, Semi-Static Hedging, Levy Processes, Exotic European Options, Barrier Options, Wiener-Hopf Factorization, Fourier-Laplace Inversion, Sinh-Acceleration

43.

Strategic Exit With Information and Payoff Externalities

Number of pages: 38 Posted: 03 Jun 2019
Svetlana Boyarchenko
University of Texas at Austin - Department of Economics
Downloads 50 (704,891)

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stopping time games, sponsored research, strategic experimentation

44.

Gauge Transformations in the Dual Space, and Pricing and Estimation in the Long Run in Affine Jump-Diffusion Models

Number of pages: 23 Posted: 13 Jan 2020 Last Revised: 26 Mar 2021
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 41 (764,383)

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affine jump-diffusions, eigenfunction expansion, long run, estimation, Ornstein-Uhlenbeck model, Vasicek model, square root model, CIR model

45.

SINH-Acceleration for B-Spline Projection with Option Pricing Applications

Number of pages: 45 Posted: 23 Oct 2021
Svetlana Boyarchenko, Sergei Levendorskii, Justin Kirkby and Zhenyu Cui
University of Texas at Austin - Department of Economics, Calico Science Consulting, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Stevens Institute of Technology - School of Business
Downloads 37 (793,485)
Citation 9

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options pricing, Fourier, sinh-acceleration, barrier option, inversion, B-spline

46.

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

Number of pages: 28 Posted: 19 Jul 2022
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 34 (816,807)

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$Z$-transform, extrema of a random walk, lookback options, barrier options, discrete monitoring, L\'evy processes, Fourier transform, Hilbert transform, Fast Fourier transform, fast Hilbert transform, trapezoid rule, sinh-acceleration

47.

Conformal Accelerations Method and Efficient Evaluation of Stable Distributions

Number of pages: 26 Posted: 24 Jul 2018 Last Revised: 13 Aug 2018
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 34 (816,807)
Citation 9

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Stable Levy Processes, Monte Carlo Simulations, Conformal Principal Components, Sinh-Acceleration, Simplified Trapezoid Rule, Simplified Conic Trapezoid Rule, Richardson Extrapolation, Signal Processing

48.

Levy Models Amenable to Efficient Calculations

Number of pages: 46 Posted: 15 Jun 2022
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 33 (824,699)
Citation 1

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Stieltjes-L\'evy processes, sinh-acceleration, SINH-regular L\'evy processes, HEJD, KoBoL, CGMY, NIG,Normal Tempered Stable L\'evy processes, Variance Gamma, Meixner processes, beta-model, meromorphic processes, Hyperbolic processes, Generalized Hyperbolic,subordinated BM

49.

Efficient Evaluation of Expectations of Functions of a Lévy Process and Its Extremum

Number of pages: 34 Posted: 30 Jun 2022
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 23 (911,856)
Citation 1

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50.

Efficient Evaluation of Expectations of Functions of a Lévy Process and Its Extremum. II

Number of pages: 33 Posted: 08 Aug 2022
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 17 (970,720)

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Lévy process, extrema of a Lévy process, lookback options, barrier options, Fourier transform, Hilbert transform, Fast Fourier transform, fast Hilbert transform, Gaver-Wynn Rho algorithm, sinh-acceleration

51.

Alternative Models for FX: Pricing Double Barrier Options in Regime-switching Lévy Models With Memory

Number of pages: 6 Posted: 26 Mar 2024
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 16 (980,677)

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regime-switching Lévy processes, double barrier options, Wiener-Hopf factorization, Fourier transform, Laplace transform, Gaver-Wynn Rho algorithm, sinh-acceleration

52.

Efficient Evaluation of Expectations of Functions of a Stable Levy Process and Its Extremum

Number of pages: 30 Posted: 30 Sep 2022
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 14 (1,001,095)

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stable L\'evy processes, extrema of a stable L\'evy process, fractional partial differential equations, Fourier transform, Gaver-Wynn Rho algorithm, sinh-acceleration, conformal acceleration technique

53.

Efficient evaluation of joint pdf of a L'evy process, its extremum, and hitting time of the extremum

Number of pages: 29 Posted: 20 Dec 2023
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 13 (1,011,052)

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L\'evy process, extrema of a L\'evy process, barrier options, Wiener-Hopf factorization, Fourier transform, Laplace transform, Gaver-Wynn Rho algorithm, sinh-acceleration, SINH-regular processes, Stieltjes-L\'evy processes

54.

Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in L'evy models

Number of pages: 27 Posted: 20 Dec 2023
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 13 (1,011,052)

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Heston model, L\'evy processes KoBoL, double barrier options, Wiener-Hopf factorization, Fourier transform, Laplace transform, Gaver-Wynn Rho algorithm, sinh-acceleration, double spiral method

55.

Efficient Evaluation of Double-Barrier Options and Joint CPDF of a Levy Process and Its Two Extrema

Number of pages: 37 Posted: 09 Nov 2022
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 10 (1,039,707)

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Levy process, extrema of a Levy process, double barrier options, Fourier transform, Gaver-Wynn Rho algorithm, sinh-acceleration

56.

Simulation of a L'evy process, its extremum, and hitting time of the extremum via characteristic functions

Number of pages: 19 Posted: 20 Dec 2023
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 8 (1,057,643)

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L\'evy process, extrema of a L\'evy process, barrier options, Wiener-Hopf factorization, Fourier transform, Laplace transform, Gaver-Wynn Rho algorithm, sinh-acceleration, SINH-regular processes, Stieltjes-L\'evy processes

57.

Efficient Variations of the Fourier Transform in Applications to Option Pricing

Journal of Computational Finance, Vol. 18, No. 2, 2014
Number of pages: 34 Posted: 04 Jun 2016
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and University of Leicester
Downloads 0 (1,118,881)
Citation 2
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Fourier expansion, option pricing, iFT method