Mitya Boyarchenko

University of Michigan - Department of Mathematics

Assistant Professor

530 Church Street

2074 East Hall

Ann Arbor, MI 48109

United States

  • University of Michigan - Department of Mathematics

SCHOLARLY PAPERS

12

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3,511

TOTAL CITATIONS
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Top 14,005

in Total Papers Citations

91

Scholarly Papers (12)

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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 649 (86,211)
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 565 (102,898)
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 531 (111,119)
Citation 23

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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

4.

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 368 (170,814)
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

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 287 (223,013)
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 283 (226,287)
Citation 4

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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 249 (257,593)
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
Mitya Boyarchenko, Marco de Innocentis, Marco de Innocentis and Sergei Levendorskii
University of Michigan - Department of Mathematics, Credit Suisse Securities (Europe) LimitedThe Royal Bank of Scotland - NatWest Markets and Calico Science Consulting
Downloads 194 (326,786)
Citation 18

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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.

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 142 (427,690)
Citation 4

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10.

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 124 (476,006)

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

11.

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 119 (491,313)
Citation 4

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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

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