2 citations · 3 across the 4 of their papers we have counts for
5 papers
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…
Computing wedge probabilities: finite time horizon case
Dmitry Muravey
We present an alternative to the well-known Anderson's formula for the probability that a first exit time from the planar region between two slopping lines -a_1 t -b_1 and a_2 t +…
An explicit solution for optimal investment in Heston model
Elena Boguslavskaya, Dmitry Muravey
In this paper we consider a variation of the Merton's problem with added stochastic volatility and finite time horizon. It is known that the corresponding optimal control problem m…
The Boundary Value Problem for a Static 2D Klein--Gordon Equation in the Infinite Strip and in the Half-Plane
Dmitry Muravey
We provide explicit formulas for the Green function of an elliptic PDE in the infinite strip and the half-plane. They are expressed in elementary and special functions. Proofs of u…