15 citations · 66 across the 31 of their papers we have counts for
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q-fin.PR2023
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…
q-fin.CP2023
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…