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q-fin.CP2025
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".…
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…