15 citations · 66 across the 31 of their papers we have counts for
11 papers · 1 filter
Semi-analytic pricing of American options in time-dependent jump-diffusion models with exponential jumps
Andrey Itkin
In this paper we propose a semi-analytic approach to pricing American options for time-dependent jump-diffusions models with exponential jumps The idea of the method is to further…
Semi-analytical pricing of barrier options in the time-dependent Heston model
P. Carr, A. Itkin, D. Muravey
We develop the general integral transforms (GIT) method for pricing barrier options in the time-dependent Heston model (also with a time-dependent barrier) where the option price i…
Multilayer heat equations and their solutions via oscillating integral transforms
Andrey Itkin, Alexander Lipton, Dmitry Muravey
By expanding the Dirac delta function in terms of the eigenfunctions of the corresponding Sturm-Liouville problem, we construct some new (oscillating) integral transforms. These tr…
Semi-analytical pricing of barrier options in the time-dependent -SABR model
Andrey Itkin, Dmitry Muravey
We extend the approach of Carr, Itkin and Muravey, 2021 for getting semi-analytical prices of barrier options for the time-dependent Heston model with time-dependent barriers by ap…
Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process
Peter Carr, Andrey Itkin
In this paper we develop a semi-closed form solutions for the barrier (perhaps, time-dependent) and American options written on the underlying stock which follows a time-dependent…
Geometric Local Variance Gamma model
Peter Carr, Andrey Itkin
This paper describes another extension of the Local Variance Gamma model originally proposed by P. Carr in 2008, and then further elaborated on by Carr and Nadtochiy, 2017 (CN2017)…