6 citations · 20 across the 14 of their papers we have counts for
14 papers
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-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-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…