1 citations · 1 across the 20 of their papers we have counts for
21 papers
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".…
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…
Correct implied volatility shapes and reliable pricing in the rough Heston model
Svetlana Boyarchenko, Sergei Levendorskiǐ
We use modifications of the Adams method and very fast and accurate sinh-acceleration method of the Fourier inversion (iFT) (S.Boyarchenko and Levendorskiĭ, IJTAF 2019, v.22) to ev…
Efficient inverse -transform and Wiener-Hopf factorization
Svetlana Boyarchenko, Sergei Levendorskiĭ
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…
Alternative models for FX: pricing double barrier options in regime-switching Lévy models with memory
Svetlana Boyarchenko, Sergei Levendorskiĭ
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 th…
Efficient evaluation of joint pdf of a Lévy process, its extremum, and hitting time of the extremum
Svetlana Boyarchenko, Sergei Levendorskii
For Lévy processes with exponentially decaying tails of the Lévy density, we derive integral representations for the joint cpdf of (the process, its supre…