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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".…
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…