4 papers
Alternative models for FX: pricing double barrier options in regime-switching Lévy models with memory
Svetlana Boyarchenko, Sergei Levendorskiĭ
This paper is a supplement to our recent paper ``Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in Lévy models". We introduce th…
Efficient inverse -transform: sufficient conditions
Svetlana Boyarchenko, Sergei Levendorskiĭ
We derive several sets of sufficient conditions for applicability of the new efficient numerical realization of the inverse -transform. For large , the complexity of the new…
Efficient inverse -transform and pricing barrier and lookback options with discrete monitoring
Svetlana Boyarchenko, Sergei Levendorskiĭ
We prove simple general formulas for expectations of functions of a random walk and its running extremum. Under additional conditions, we derive analytical formulas using the inver…
Lévy models amenable to efficient calculations
Svetlana Boyarchenko, Sergei Levendorskiĭ
In our previous publications (IJTAF 2019, Math. Finance 2020), we introduced a general class of SINH-regular processes and demonstrated that efficient numerical methods for the eva…