Mitya Boyarchenko

University of Michigan - Department of Mathematics

Assistant Professor

530 Church Street

2074 East Hall

Ann Arbor, MI 48109

United States

SCHOLARLY PAPERS

12

DOWNLOADS
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3,139

SSRN CITATIONS
Rank 11,193

SSRN RANKINGS

Top 11,193

in Total Papers Citations

20

CROSSREF CITATIONS

88

Scholarly Papers (12)

1.

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 613 (67,082)
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

2.

Refined and Enhanced Fast Fourier Transform Techniques, with an Application to the Pricing of Barrier Options

Number of pages: 33 Posted: 24 May 2008 Last Revised: 11 Jun 2008
Mitya Boyarchenko and Sergei Levendorskii
University of Michigan - Department of Mathematics and Calico Science Consulting
Downloads 531 (80,234)
Citation 16

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Option pricing, Fourier transform, FFT, Levy processes, Carr's randomization, barrier options, Wiener-Hopf factorization

3.

Prices and Sensitivities of Barrier and First-Touch Digital Options in Levy-Driven Models

Number of pages: 43 Posted: 05 Jul 2008
Mitya Boyarchenko and Sergei Levendorskii
University of Michigan - Department of Mathematics and Calico Science Consulting
Downloads 492 (88,157)
Citation 15

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Option pricing, greeks, barrier options, first-touch digitals, Levy processes, KoBoL processes, CGMY model, Normal Inverse Gaussian processes, Variance Gamma processes, Fast Fourier transform, Carr's randomization, Wiener-Hopf factorization

Valuation of Continuously Monitored Double Barrier Options and Related Securities

Number of pages: 56 Posted: 17 Aug 2008 Last Revised: 28 Jul 2009
Mitya Boyarchenko and Sergei Levendorskii
University of Michigan - Department of Mathematics and Calico Science Consulting
Downloads 334 (136,605)
Citation 6

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Option pricing, double barrier options, double-no-touch options, Levy processes, Variance Gamma processes, KoBoL processes, CGMY model, fast Fourier transform, Carr's randomization, Wiener-Hopf factorization, Laplace transform

Valuation of Continuously Monitored Double Barrier Options and Related Securities

Mathematical Finance, Vol. 22, Issue 3, pp. 419-444, 2012
Number of pages: 26 Posted: 08 Jun 2012
Mitya Boyarchenko and Sergei Levendorskiĭ
University of Michigan - Department of Mathematics and University of Leicester
Downloads 2 (988,006)

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option pricing, double barrier options, double‐no‐touch options, Lévy processes, Variance Gamma processes, Normal Inverse Gaussian processes, Kuznetsov's β‐processes, KoBoL processes, CGMY model, fast Fourier transform, Carr's randomization, Wiener‐Hopf factorization, Laplace transform

5.

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 261 (177,561)
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

6.

Fast Simulation of Levy Processes

Number of pages: 31 Posted: 31 Aug 2012 Last Revised: 15 Sep 2012
Mitya Boyarchenko
University of Michigan - Department of Mathematics
Downloads 233 (198,471)
Citation 3

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Monte-Carlo simulation, levy processes, KoBoL process, CGMY model, parabolic inverse Fourier transform, path-dependent option pricing

7.

Carr's Randomization for Finite-Lived Barrier Options: Proof of Convergence

Number of pages: 18 Posted: 02 Oct 2008
Mitya Boyarchenko
University of Michigan - Department of Mathematics
Downloads 223 (206,952)
Citation 5

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Option pricing, barrier options, double barrier options, Carr's randomization, Canadization, analytic method of lines, Levy processes

8.

Prices of Barrier and First-Touch Digital Options in Levy-Driven Models, Near Barrier

Number of pages: 63 Posted: 28 Nov 2009
University of Michigan - Department of Mathematics, Credit Suisse Securities (Europe) LimitedThe Royal Bank of Scotland - NatWest Markets and Calico Science Consulting
Downloads 175 (257,470)
Citation 10

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barrier options, first-touch digitals, Levy processes,Carr's randomization, KoBoL processes, CGMY model,Normal Inverse Gaussian processes, Variance Gamma processes, Wiener-Hopf factorization, asymptotics

9.

Discontinuity of Value Functions of Certain Options with Barriers

Number of pages: 10 Posted: 02 Jan 2009 Last Revised: 05 Jan 2009
Mitya Boyarchenko
University of Michigan - Department of Mathematics
Downloads 111 (367,426)

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Option pricing, barrier options, first-touch digitals, Levy processes, discontinuity

10.

Pricing Barrier Options and Credit Default Swaps (CDS) in Spectrally One-Sided Levy Models: The Parabolic Laplace Inversion Method

Number of pages: 34 Posted: 05 Nov 2013
Mitya Boyarchenko and Sergei Levendorskii
University of Michigan - Department of Mathematics and Calico Science Consulting
Downloads 92 (416,648)
Citation 3

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Spectrally one-sided Levy processes, Wiener-Hopf factorization, barrier options, credit default swaps, parabolic inverse Laplace transform, parabolic inverse Fourier transform

11.

Ghost Calibration and Pricing Barrier Options and CDS in Spectrally One-Sided L'evy Models: The Parabolic Laplace Inversion Method

Number of pages: 38 Posted: 03 Jun 2014
Mitya Boyarchenko and Sergei Levendorskii
University of Michigan - Department of Mathematics and Calico Science Consulting
Downloads 72 (481,060)
Citation 4

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12.

Prices and Sensitivities of Barrier and First-Touch Digital Options in Lévy-Driven Models

International Journal of Theoretical and Applied Finance (IJTAF), 2010
Posted: 08 Jun 2010
Mitya Boyarchenko and Sergei Levendorskii
University of Michigan - Department of Mathematics and Calico Science Consulting

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Option pricing, greeks, barrier options, first-touch digitals, Lévy processes, Fast Fourier transform; Carr's randomization; KoBoL processes; CGMY model; Normal Inverse Gaussian processes, Variance Gamma processes, Wiener–Hopf factorization