15 citations · 66 across the 31 of their papers we have counts for
20 papers · 1 filter
American options in time-dependent one-factor models: Semi-analytic pricing, numerical methods and ML support
Andrey Itkin, Dmitry Muravey
Semi-analytical pricing of American options in a time-dependent Ornstein-Uhlenbeck model was presented in [Carr, Itkin, 2020]. It was shown that to obtain these prices one needs to…
Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit
Andrey Itkin, Dmitry Muravey
We continue a series of papers devoted to construction of semi-analytic solutions for barrier options. These options are written on underlying following some simple one-factor diff…
From the Black-Karasinski to the Verhulst model to accommodate the unconventional Fed's policy
A. Itkin, A. Lipton, D. Muravey
In this paper, we argue that some of the most popular short-term interest models have to be revisited and modified to reflect current market conditions better. In particular, we pr…
Semi-closed form prices of barrier options in the time-dependent CEV and CIR models
Peter Carr, Andrey Itkin, Dmitry Muravey
We continue a series of papers where prices of the barrier options written on the underlying, which dynamics follows some one factor stochastic model with time-dependent coefficien…
Semi-closed form prices of barrier options in the Hull-White model
Andrey Itkin, Dmitry Muravey
In this paper we derive semi-closed form prices of barrier (perhaps, time-dependent) options for the Hull-White model, ie., where the underlying follows a time-dependent OU process…
Four-factor model of Quanto CDS with jumps-at-default and stochastic recovery
Andrey Itkin, Fazlollah Soleymani
In this paper we modify the model of Itkin, Shcherbakov and Veygman, (2019) (ISV2019), proposed for pricing Quanto Credit Default Swaps (CDS) and risky bonds, in several ways. Firs…