8 papers
Fast reliable pricing and calibration of the rough Heston model
Svetlana Boyarchenko, Marco de Innocentis, Sergei Levendorskiĭ
The paper is an extended and modified version of the preprint S.Boyarchenko and S.Levendorskiĭ ``Correct implied volatility shapes and reliable pricing in the rough Heston model".…
Asymptotics of survival probabilities and lower tail probability problem
Svetlana Boyarchenko, Sergei Levendorskiĭ
The present paper is an addendum to the paper ``Lévy models amenable to efficient calculations", where we introduced a general class of Stieltjes-Lévy processes (SL-processes) and…
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 evaluation of double-barrier options and joint cpdf of a Lévy process and its two extrema
Svetlana Boyarchenko, Sergei Levendorskiĭ
In the paper, we develop a very fast and accurate method for pricing double barrier options with continuous monitoring in wide classes of Lévy models; the calculations are in the d…
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…
Gauge transformations in the dual space, and pricing and estimation in the long run in affine jump-diffusion models
Svetlana Boyarchenko, Sergei Levendorskiĭ
We suggest a simple reduction of pricing European options in affine jump-diffusion models to pricing options with modified payoffs in diffusion models. The procedure is based on th…
Conformal accelerations method and efficient evaluation of stable distributions, revisited
Svetlana Boyarchenko, Sergei Levendorskiĭ
We introduce new efficient integral representations and methods for evaluation of pdfs, cpds and quantiles of stable distributions. For wide regions in the parameter space, absolut…