Svetlana Boyarchenko

University of Texas at Austin - Department of Economics

Austin, TX 78712

United States

SCHOLARLY PAPERS

57

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11,903

SSRN CITATIONS
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145

CROSSREF CITATIONS

117

Scholarly Papers (57)

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 1,160 (34,422)
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 720 (66,561)
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 (77,954)
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 603 (83,279)
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 598 (84,163)
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 (105,829)
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.

Life Cycle of Startup Financing

Number of pages: 48 Posted: 28 Apr 2021
Svetlana Boyarchenko
University of Texas at Austin - Department of Economics
Downloads 493 (107,141)

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startup financing, venture capital, hump-shaped distributions

8.

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 (108,174)
Citation 6

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

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 369 (149,836)
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 348 (159,771)
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 336 (165,885)

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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 (174,834)
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 310 (180,698)
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 (185,113)
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 (202,453)
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 (205,434)
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 (213,998)
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 (223,310)
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 (233,315)

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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 (238,089)
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 (246,129)
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 226 (248,243)
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 (269,459)
Citation 2

Abstract:

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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 (283,087)
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 (314,921)
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 (343,745)
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 (345,657)
Citation 1

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Levy processes, option pricing, dividend paying assets

28.
Downloads 143 (371,006)
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 (488,213)
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 (771,953)
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 (390,353)
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 (404,529)

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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 (419,390)

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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 (427,199)
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 (429,933)

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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 112 (446,960)
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 (465,331)

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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 (508,188)
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 (545,239)
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 (549,222)
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 (624,771)
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 61 (645,101)
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 (650,417)

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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 (661,111)
Citation 13

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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 (707,534)

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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 (767,194)

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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 (796,419)
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 (819,769)

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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 (819,769)
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 (827,755)
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 (915,316)
Citation 1

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50.

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 20 (944,526)

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

51.

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 (974,480)

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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

52.

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 14 (1,004,954)

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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

53.

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 (1,004,954)

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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

54.

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 (1,014,884)

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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

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 (1,043,691)

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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 (1,061,742)

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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 (1,124,446)
Citation 2
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Fourier expansion, option pricing, iFT method