activity
20152023
most citedThe Boundary Value Problem for a Static 2D Klein--Gordon Equation in the Infinite Strip and in the Half-Plane

2 citations · 5 across the 7 of their papers we have counts for

collaborators
Showing 2023Show all

1 paper · 1 filter

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…