3 papers
math.PR2023
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…
math.NA2022
Efficient inverse -transform and pricing barrier and lookback options with discrete monitoring
Svetlana Boyarchenko, Sergei Levendorskiĭ
We prove simple general formulas for expectations of functions of a random walk and its running extremum. Under additional conditions, we derive analytical formulas using the inver…
math.PR2022
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…