Oleg E. Kudryavtsev

Russian Customs Academy Rostov Branch - Department of Informatics

Budennovskiy 20

Rostov-on-Don, 344011

Russia

SCHOLARLY PAPERS

8

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SSRN CITATIONS
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Top 39,496

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7

CROSSREF CITATIONS

8

Scholarly Papers (8)

1.

Fast and Accurate Pricing of Barrier Options Under Levy Processes

Number of pages: 32 Posted: 06 Dec 2007
Oleg E. Kudryavtsev and Sergei Levendorskii
Russian Customs Academy Rostov Branch - Department of Informatics and Calico Science Consulting
Downloads 441 (68,167)
Citation 8

Abstract:

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barrier options, Levy processes, numerical methods

2.

A Note on Relative Efficiency of Some Numerical Methods for Pricing of American Options Under Levy Processes

Number of pages: 40 Posted: 28 Oct 2004
Sergei Levendorskii, Oleg E. Kudryavtsev and Vadim M. Zherder
Calico Science Consulting, Russian Customs Academy Rostov Branch - Department of Informatics and Rostov State Economic University
Downloads 316 (100,296)
Citation 2

Abstract:

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American options, Levy processes, numerical methods

3.

Efficient Pricing Options with Barrier and Lookback Features Under Levy Processes

Number of pages: 29 Posted: 05 Jun 2011
Oleg E. Kudryavtsev and Sergei Levendorskii
Russian Customs Academy Rostov Branch - Department of Informatics and Calico Science Consulting
Downloads 214 (149,595)
Citation 5

Abstract:

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Levy processes, KoBoL, CGMY, barrier options, lookback options, barrier-lookback options, Wiener-Hopf factorization, inverse Laplace transform, Fast Fourier transform

4.

Pricing of First Touch Digitals Under Normal Inverse Gaussian Processes

Number of pages: 23 Posted: 25 Mar 2004
Oleg E. Kudryavtsev and Sergei Levendorskii
Russian Customs Academy Rostov Branch - Department of Informatics and Calico Science Consulting
Downloads 213 (150,233)
Citation 4

Abstract:

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First touch digitals, Levy processes, fast pricing

5.

Advantages of the Laplace Transform Approach in Pricing First Touch Digital Options in Levy-Driven Models

Number of pages: 20 Posted: 11 Jan 2016 Last Revised: 28 Jan 2016
Oleg E. Kudryavtsev
Russian Customs Academy Rostov Branch - Department of Informatics
Downloads 36 (461,277)

Abstract:

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Jump processes, Factorization theory, Laplace transform, Computational methods, Mathematical finance

6.

A Numercal Realization of the Wiener-Hopf Method For the Backward Kolmogorov Equation

Number of pages: 18 Posted: 02 Dec 2018
Oleg E. Kudryavtsev and Vasily Rodochenko
Russian Customs Academy Rostov Branch - Department of Informatics and Southern Federal University - Faculty of Mathematics, Mechanics and Computer Science
Downloads 13 (590,444)

Abstract:

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Levy processes, first touch digital options, Wiener-Hopf factorization, Laplace transform

7.

The Wiener-Hopf Factorization for Pricing Options Made Easy

Number of pages: 15 Posted: 16 Mar 2020
Oleg E. Kudryavtsev and Praskoviya Luzhetskaya
Russian Customs Academy Rostov Branch - Department of Informatics and Don State Technical University
Downloads 6 (637,619)

Abstract:

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Wiener-Hopf factorization, numerical methods, option pricing, Levy processes

8.

The Relative Efficiency of Numerical Methods for Pricing American Options Under LéVy Processes

Journal of Computational Finance, Vol. 9, No. 2, Spring 2006
Posted: 10 May 2006
Sergei Levendorskii, Oleg E. Kudryavtsev and Vadim M. Zherder
Calico Science Consulting, Russian Customs Academy Rostov Branch - Department of Informatics and Rostov State Economic University

Abstract:

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American options, Lévy processes, Lévy, Carr et al (2002), LevendorskiˇI (2004a)