22 citations · 24 across the 15 of their papers we have counts for
16 papers
Efficient inverse -transform and Wiener-Hopf factorization
Svetlana Boyarchenko, Sergei Levendorskiĭ
We suggest new closely related methods for numerical inversion of -transform and Wiener-Hopf factorization of functions on the unit circle, based on sinh-deformations of the con…
Efficient evaluation of joint pdf of a Lévy process, its extremum, and hitting time of the extremum
Svetlana Boyarchenko, Sergei Levendorskii
For Lévy processes with exponentially decaying tails of the Lévy density, we derive integral representations for the joint cpdf of (the process, its supre…
Simulation of a Lévy process, its extremum, and hitting time of the extremum via characteristic functions
Svetlana Boyarchenko, Sergei Levendorskii
We suggest a general framework for simulation of the triplet (Lévy process, its extremum, and hitting time of the extremum), and, separately, …
Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in Lévy models
Svetlana Boyarchenko, Sergei Levendorskii
We analyze the qualitative differences between prices of double barrier no-touch options in the Heston model and pure jump KoBoL model calibrated to the same set of the empirical d…
Efficient evaluation of expectations of functions of a stable Lévy process and its extremum
Svetlana Boyarchenko, Sergei Levendorskiĭ
Integral representations for expectations of functions of a stable Lévy process and its supremum are derived. As examples, cumulative probability distribution function…
Efficient inverse -transform and pricing barrier and lookback options with discrete monitoring
Svetlana Boyarchenko, Sergei Levendorskiĭ
We prove simple general formulas for expectations of functions of a random walk and its running extremum. Under additional conditions, we derive analytical formulas using the inver…