6 papers
Beyond the classical Weyl and Colin de Verdiere's formulas for Schrodinger operators with polynomial magnetic and electric fields
Mitya Boyarchenko, Sergei Levendorskii
We present a pair of conjectural formulas that compute the leading term of the spectral asymptotics of a Schrödinger operator on $L^2(\bR^n)$ with quasi-homogeneous polynomial magn…
Universal bad news principle and pricing of options on dividend-paying assets
Svetlana Boyarchenko, Sergei Levendorskii
We solve the pricing problem for perpetual American puts and calls on dividend-paying assets. The dependence of a dividend process on the underlying stochastic factor is fairly gen…
Consistency conditions for affine term structure models
Sergei Levendorskii
ATSM are widely applied for pricing of bonds and interest rate derivatives but the consistency of ATSM when the short rate, r, is unbounded from below remains essentially an open q…
Practical guide to real options in discrete time
Svetlana Boyarchenko, Sergei Levendorskii
Continuous time models in the theory of real options give explicit formulas for optimal exercise strategies when options are simple and the price of an underlying asset follows a g…
The American put and European options near expiry, under Levy processes
Sergei Levendorskii
We derive explicit formulas for time decay, for the European call and put options at expiry, and use them to calculate analytical approximations to the price of the American put an…
Pseudo-diffusions and Quadratic term structure models
Sergei Levendorskii
The non-gaussianity of processes observed in financial markets and relatively good performance of gaussian models can be reconciled by replacing the Brownian motion with Levy proce…