3 papers
math.PR2025
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…
q-fin.CP2022
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…
q-fin.CP2019
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…