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math.NA2024
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…
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.NA2018
Conformal accelerations method and efficient evaluation of stable distributions, revisited
Svetlana Boyarchenko, Sergei Levendorskiĭ
We introduce new efficient integral representations and methods for evaluation of pdfs, cpds and quantiles of stable distributions. For wide regions in the parameter space, absolut…