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q-fin.MF2024
Correct implied volatility shapes and reliable pricing in the rough Heston model
Svetlana Boyarchenko, Sergei LevendorskiÇ
We use modifications of the Adams method and very fast and accurate sinh-acceleration method of the Fourier inversion (iFT) (S.Boyarchenko and LevendorskiÄ, IJTAF 2019, v.22) to e…
math.NA2024
Efficient inverse -transform and Wiener-Hopf factorization
Svetlana Boyarchenko, Sergei LevendorskiÄ
We suggest new closely related methods for numerical inversion of -transform and Wiener-Hopf factorization of functions on the unit circle, based on sinh-deformations of the con…
q-fin.PR2024
Alternative models for FX: pricing double barrier options in regime-switching Lévy models with memory
Svetlana Boyarchenko, Sergei LevendorskiÄ
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 t…