Svetlana Boyarchenko
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022.
"Efficient evaluation of expectations of functions of a stable L\'evy process and its extremum,"
Papers
2209.12349, arXiv.org.
Cited by:
- Svetlana Boyarchenko & Sergei Levendorskii, 2023. "Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in L\'evy models," Papers 2312.03915, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022. "Efficient evaluation of double-barrier options and joint cpdf of a L\'evy process and its two extrema," Papers 2211.07765, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022.
"Efficient evaluation of double-barrier options and joint cpdf of a L\'evy process and its two extrema,"
Papers
2211.07765, arXiv.org.
Cited by:
- Svetlana Boyarchenko & Sergei Levendorskii, 2023. "Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in L\'evy models," Papers 2312.03915, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2024. "Alternative models for FX: pricing double barrier options in regime-switching L\'evy models with memory," Papers 2402.16724, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022.
"Efficient inverse $Z$-transform and pricing barrier and lookback options with discrete monitoring,"
Papers
2207.02858, arXiv.org, revised Jul 2022.
Cited by:
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022. "Efficient evaluation of double-barrier options and joint cpdf of a L\'evy process and its two extrema," Papers 2211.07765, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2024. "Efficient inverse $Z$-transform and Wiener-Hopf factorization," Papers 2404.19290, arXiv.org, revised May 2024.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2023. "Efficient inverse $Z$-transform: sufficient conditions," Papers 2305.10725, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022.
"L\'evy models amenable to efficient calculations,"
Papers
2207.02359, arXiv.org.
Cited by:
- Svetlana Boyarchenko & Sergei Levendorskii, 2023. "Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in L\'evy models," Papers 2312.03915, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskiu{i} & J. Lars Kirkby & Zhenyu Cui, 2021.
"SINH-acceleration for B-spline projection with Option Pricing Applications,"
Papers
2109.08738, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskiä¬ & J. Lars Kyrkby & Zhenyu Cui, 2021. "Sinh-Acceleration For B-Spline Projection With Option Pricing Applications," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 24(08), pages 1-50, December.
Cited by:
- Svetlana Boyarchenko & Sergei Levendorskii, 2023. "Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in L\'evy models," Papers 2312.03915, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskii, 2023. "Efficient evaluation of joint pdf of a L\'evy process, its extremum, and hitting time of the extremum," Papers 2312.05222, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2019.
"Gauge transformations in the dual space, and pricing and estimation in the long run in affine jump-diffusion models,"
Papers
1912.06948, arXiv.org, revised Dec 2019.
Cited by:
- Sergei Levendorskiĭ, 2022. "Operators and Boundary Problems in Finance, Economics and Insurance: Peculiarities, Efficient Methods and Outstanding Problems," Mathematics, MDPI, vol. 10(7), pages 1-36, March.
- Svetlana Boyarchenko & Sergei Levendorskii, 2019.
"Static and semi-static hedging as contrarian or conformist bets,"
Papers
1902.02854, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskiĭ, 2020. "Static and semistatic hedging as contrarian or conformist bets," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 921-960, July.
Cited by:
- Svetlana Boyarchenko & Sergei Levendorskiä¬ & J. Lars Kyrkby & Zhenyu Cui, 2021.
"Sinh-Acceleration For B-Spline Projection With Option Pricing Applications,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 24(08), pages 1-50, December.
- Svetlana Boyarchenko & Sergei Levendorskiu{i} & J. Lars Kirkby & Zhenyu Cui, 2021. "SINH-acceleration for B-spline projection with Option Pricing Applications," Papers 2109.08738, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022. "Efficient evaluation of expectations of functions of a stable L\'evy process and its extremum," Papers 2209.12349, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskii, 2023. "Simulation of a L\'evy process, its extremum, and hitting time of the extremum via characteristic functions," Papers 2312.03929, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022. "Efficient inverse $Z$-transform and pricing barrier and lookback options with discrete monitoring," Papers 2207.02858, arXiv.org, revised Jul 2022.
- Walter Farkas & Ludovic Mathys, 2020. "Geometric Step Options with Jumps. Parity Relations, PIDEs, and Semi-Analytical Pricing," Papers 2002.09911, arXiv.org.
- Samuel N. Cohen & Christoph Reisinger & Sheng Wang, 2022. "Hedging option books using neural-SDE market models," Papers 2205.15991, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskii, 2023. "Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in L\'evy models," Papers 2312.03915, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022. "L\'evy models amenable to efficient calculations," Papers 2207.02359, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022. "Efficient evaluation of double-barrier options and joint cpdf of a L\'evy process and its two extrema," Papers 2211.07765, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2024. "Efficient inverse $Z$-transform and Wiener-Hopf factorization," Papers 2404.19290, arXiv.org, revised May 2024.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2019. "Gauge transformations in the dual space, and pricing and estimation in the long run in affine jump-diffusion models," Papers 1912.06948, arXiv.org, revised Dec 2019.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2023. "Efficient inverse $Z$-transform: sufficient conditions," Papers 2305.10725, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2024. "Alternative models for FX: pricing double barrier options in regime-switching L\'evy models with memory," Papers 2402.16724, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskii, 2023. "Efficient evaluation of joint pdf of a L\'evy process, its extremum, and hitting time of the extremum," Papers 2312.05222, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2018.
"SINH-acceleration: efficient evaluation of probability distributions, option pricing, and Monte-Carlo simulations,"
Papers
1808.05295, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskiĭ, 2019. "Sinh-Acceleration: Efficient Evaluation Of Probability Distributions, Option Pricing, And Monte Carlo Simulations," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(03), pages 1-49, May.
Cited by:
- Svetlana Boyarchenko & Sergei Levendorskiä¬ & J. Lars Kyrkby & Zhenyu Cui, 2021.
"Sinh-Acceleration For B-Spline Projection With Option Pricing Applications,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 24(08), pages 1-50, December.
- Svetlana Boyarchenko & Sergei Levendorskiu{i} & J. Lars Kirkby & Zhenyu Cui, 2021. "SINH-acceleration for B-spline projection with Option Pricing Applications," Papers 2109.08738, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskii, 2019.
"Static and semi-static hedging as contrarian or conformist bets,"
Papers
1902.02854, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskiĭ, 2020. "Static and semistatic hedging as contrarian or conformist bets," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 921-960, July.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022. "Efficient evaluation of expectations of functions of a stable L\'evy process and its extremum," Papers 2209.12349, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022. "Efficient inverse $Z$-transform and pricing barrier and lookback options with discrete monitoring," Papers 2207.02858, arXiv.org, revised Jul 2022.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022. "L\'evy models amenable to efficient calculations," Papers 2207.02359, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2019. "Gauge transformations in the dual space, and pricing and estimation in the long run in affine jump-diffusion models," Papers 1912.06948, arXiv.org, revised Dec 2019.
- Sergei Levendorskiĭ, 2022. "Operators and Boundary Problems in Finance, Economics and Insurance: Peculiarities, Efficient Methods and Outstanding Problems," Mathematics, MDPI, vol. 10(7), pages 1-36, March.
- Michele Azzone & Roberto Baviera, 2023. "A fast Monte Carlo scheme for additive processes and option pricing," Computational Management Science, Springer, vol. 20(1), pages 1-34, December.
- Svetlana Boyarchenko & Sergei Levendorskii, 2011.
"Preemption Games under Levy Uncertainty,"
Department of Economics Working Papers
131101, The University of Texas at Austin, Department of Economics, revised Oct 2014.
- Boyarchenko, Svetlana & Levendorskiĭ, Sergei, 2014. "Preemption games under Lévy uncertainty," Games and Economic Behavior, Elsevier, vol. 88(C), pages 354-380.
Cited by:
- Stefano Barbieri & Kai A. Konrad & David A. Malueg, 2020.
"Preemption contests between groups,"
RAND Journal of Economics, RAND Corporation, vol. 51(3), pages 934-961, September.
- Stefano Barbieri & Kai A. Konrad & David A. Malueg, 2019. "Preemption contests between groups," Working Papers tax-mpg-rps-2019-09, Max Planck Institute for Tax Law and Public Finance.
- Konrad, Kai A. & Barbieri, Stefano & Malueg, David A., 2019. "Preemption Contests Between Groups," CEPR Discussion Papers 13738, C.E.P.R. Discussion Papers.
- Bruno Versaevel, 2015.
"Alertness, Leadership, and Nascent Market Dynamics,"
Post-Print
halshs-01232708, HAL.
- Bruno Versaevel, 2015. "Alertness, Leadership, and Nascent Market Dynamics," Dynamic Games and Applications, Springer, vol. 5(4), pages 440-466, December.
- Bruno Versaevel, 2015. "Alertness, Leadership, and Nascent Market Dynamics," Post-Print hal-02313312, HAL.
- Bruno Versaevel, 2013. "Alertness, Leadership, and Nascent Market Dynamics," Post-Print halshs-00956753, HAL.
- Bruno Versaevel, 2013. "Alertness, Leadership, and Nascent Market Dynamics," Post-Print halshs-00956748, HAL.
- Bruno Versaevel, 2012. "Alertness, Leadership, and Nascent Market Dynamics," Post-Print halshs-00755656, HAL.
- Bruno Versaevel, 2014. "Alertness, Leadership, and Nascent Market Dynamics," Post-Print halshs-00956755, HAL.
- Smirnov, Vladimir & Wait, Andrew, 2021.
"Preemption with a second-mover advantage,"
Games and Economic Behavior, Elsevier, vol. 129(C), pages 294-309.
- Smirnov, Vladimir & Wait, Andrew, 2020. "Preemption with a Second-Mover Advantage," Working Papers 2020-06, University of Sydney, School of Economics.
- Jacco J.J. Thijssen, "undated". "Equilibria in Continuous Time Preemption Games with Markovian Payoffs," Discussion Papers 11/17, Department of Economics, University of York.
- Riedel, Frank & Steg, Jan-Henrik, 2017.
"Subgame-perfect equilibria in stochastic timing games,"
Journal of Mathematical Economics, Elsevier, vol. 72(C), pages 36-50.
- Riedel, Frank & Steg, Jan-Henrik, 2014. "Subgame-Perfect Equilibria in Stochastic Timing Games," Center for Mathematical Economics Working Papers 524, Center for Mathematical Economics, Bielefeld University.
- Thomas, Caroline, 2020. "Stopping with congestion and private payoffs," Journal of Mathematical Economics, Elsevier, vol. 91(C), pages 18-42.
- Hellmann, Tobias & Thijssen, Jacco J.J., 2016. "Fear of the market or fear of the competitor? Ambiguity in a real options game," Center for Mathematical Economics Working Papers 533, Center for Mathematical Economics, Bielefeld University.
- Steg, Jan-Henrik, 2015.
"Preemptive Investment under Uncertainty,"
Center for Mathematical Economics Working Papers
549, Center for Mathematical Economics, Bielefeld University.
- Steg, Jan-Henrik, 2018. "Preemptive investment under uncertainty," Games and Economic Behavior, Elsevier, vol. 110(C), pages 90-119.
- Jan-Henrik Steg, 2015. "Preemptive Investment under Uncertainty," Papers 1511.03863, arXiv.org, revised May 2016.
- Boyarchenko, Svetlana & Levendorskii, Sergei, 2010.
"Optimal stopping in Levy models, for non-monotone discontinuous payoffs,"
MPRA Paper
27999, University Library of Munich, Germany.
Cited by:
- Thijssen, Jacco J.J. & Huisman, Kuno J.M. & Kort, Peter M., 2012.
"Symmetric equilibrium strategies in game theoretic real option models,"
Journal of Mathematical Economics, Elsevier, vol. 48(4), pages 219-225.
- Thijssen, J.J.J. & Huisman, K.J.M. & Kort, P.M., 2002. "Symmetric Equilibrium Strategies in Game Theoretical Real Option Models," Discussion Paper 2002-81, Tilburg University, Center for Economic Research.
- Thijssen, J.J.J. & Huisman, K.J.M. & Kort, P.M., 2002. "Symmetric Equilibrium Strategies in Game Theoretical Real Option Models," Other publications TiSEM 1836bd01-0eb5-4163-8929-c, Tilburg University, School of Economics and Management.
- Svetlana Boyarchenko & Sergei Levendorskii, 2011.
"Preemption Games under Levy Uncertainty,"
Department of Economics Working Papers
131101, The University of Texas at Austin, Department of Economics, revised Oct 2014.
- Boyarchenko, Svetlana & Levendorskiĭ, Sergei, 2014. "Preemption games under Lévy uncertainty," Games and Economic Behavior, Elsevier, vol. 88(C), pages 354-380.
- Moreno Othón M., 2014. "Consumption of Durable Goods under Ambiguity," Working Papers 2014-02, Banco de México.
- Thijssen, Jacco J.J. & Huisman, Kuno J.M. & Kort, Peter M., 2012.
"Symmetric equilibrium strategies in game theoretic real option models,"
Journal of Mathematical Economics, Elsevier, vol. 48(4), pages 219-225.
- Svetlana Boyarchenko & Sergei Levendorskii, 2006.
"General option exercise rules, with applications to embedded options and monopolistic expansion,"
2006 Meeting Papers
312, Society for Economic Dynamics.
- Boyarchenko Svetlana & Levendorskii Sergei Z, 2006. "General Option Exercise Rules, with Applications to Embedded Options and Monopolistic Expansion," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 6(1), pages 1-53, June.
- Svetlana Boyarchenko & Sergei Levendorskii, 2005. "General option exercise rules, with applications to embedded options and monopolistic expansion," Finance 0511001, University Library of Munich, Germany.
Cited by:
- Riedel, Frank & Su, Xia, 2006.
"On Irreversible Investment,"
Bonn Econ Discussion Papers
13/2006, University of Bonn, Bonn Graduate School of Economics (BGSE).
- Frank Riedel & Xia Su, 2011. "On irreversible investment," Finance and Stochastics, Springer, vol. 15(4), pages 607-633, December.
- Svetlana Boyarchenko & Sergei Levendorskii, 2011.
"Preemption Games under Levy Uncertainty,"
Department of Economics Working Papers
131101, The University of Texas at Austin, Department of Economics, revised Oct 2014.
- Boyarchenko, Svetlana & Levendorskiĭ, Sergei, 2014. "Preemption games under Lévy uncertainty," Games and Economic Behavior, Elsevier, vol. 88(C), pages 354-380.
- Svetlana Boyarchenko & Sergey Levendorskiy, 2004.
"Optimal stopping made easy,"
Finance
0410016, University Library of Munich, Germany.
- Boyarchenko, Svetlana & Levendorskii[caron], Sergei, 2007. "Optimal stopping made easy," Journal of Mathematical Economics, Elsevier, vol. 43(2), pages 201-217, February.
- Ferrari, Giorgio & Li, Hanwu & Riedel, Frank, 2020.
"A Knightian Irreversible Investment Problem,"
Center for Mathematical Economics Working Papers
634, Center for Mathematical Economics, Bielefeld University.
- Giorgio Ferrari & Hanwu Li & Frank Riedel, 2020. "A Knightian Irreversible Investment Problem," Papers 2003.14359, arXiv.org, revised Apr 2020.
- Przemys{l}aw Repetowicz & Peter Richmond, 2006. "Option pricing with log-stable L\'{e}vy processes," Papers math/0612691, arXiv.org.
- Dehghani Mohammad H., 2014. "Policy Uncertainty and Technology Adoption," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 14(4), pages 1405-1430, October.
- Sergei Levendorskiĭ, 2022. "Operators and Boundary Problems in Finance, Economics and Insurance: Peculiarities, Efficient Methods and Outstanding Problems," Mathematics, MDPI, vol. 10(7), pages 1-36, March.
- Luis Alvarez & Teppo Rakkolainen, 2010. "Investment timing in presence of downside risk: a certainty equivalent characterization," Annals of Finance, Springer, vol. 6(3), pages 317-333, July.
- Luis Alvarez & Teppo Rakkolainen, 2009. "Optimal payout policy in presence of downside risk," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(1), pages 27-58, March.
- Boyarchenko, Svetlana & Levendorskii, Sergei, 2008. "Exit problems in regime-switching models," Journal of Mathematical Economics, Elsevier, vol. 44(2), pages 180-206, January.
- Boyarchenko, Svetlana & Levendorskii, Sergei, 2010. "Optimal stopping in Levy models, for non-monotone discontinuous payoffs," MPRA Paper 27999, University Library of Munich, Germany.
- Svetlana Boyarchenko & Sergei Levendorskii, 2005.
"A theory of endogenous time preference, and discounted utility anomalies,"
Microeconomics
0506005, University Library of Munich, Germany.
Cited by:
- Gomes, Orlando, 2007. "Socially determined time preference in discrete time," MPRA Paper 3442, University Library of Munich, Germany.
- Svetlana Boyarchenko & Sergei Levendorskii, 2005.
"Discount factors ex post and ex ante, and discounted utility anomalies,"
Microeconomics
0510013, University Library of Munich, Germany, revised 13 Dec 2005.
Cited by:
- Stefania Albanesi & Claudia Olivetti, 2007.
"Gender Roles and Technological Progress,"
NBER Working Papers
13179, National Bureau of Economic Research, Inc.
- Olivetti, Claudia & Albanesi, Stefania, 2007. "Gender Roles and Technological Progress," CEPR Discussion Papers 6352, C.E.P.R. Discussion Papers.
- Stefania Albanesi & Claudia Olivetti, 2006. "Gender roles and technological progress," 2006 Meeting Papers 411, Society for Economic Dynamics.
- Stefania Albanesi & Claudia Olivetti, 2007. "Gender Roles and Technological Progress," Boston University - Department of Economics - Working Papers Series WP2007-029, Boston University - Department of Economics.
- Gerber, Anke & Rohde, Kirsten I.M., 2010. "Risk and preference reversals in intertemporal choice," Journal of Economic Behavior & Organization, Elsevier, vol. 76(3), pages 654-668, December.
- Anke Gerbe & Kirsten I.M. Rohde, 2010. "Risk and Preference Reversals in Intertemporal Choice," Post-Print hal-00911832, HAL.
- Jawwad Noor, 2007. "Hyperbolic Discounting and the Standard," Levine's Bibliography 321307000000000939, UCLA Department of Economics.
- Stefania Albanesi & Claudia Olivetti, 2007.
"Gender Roles and Technological Progress,"
NBER Working Papers
13179, National Bureau of Economic Research, Inc.
- Svetlana Boyarchenko & Sergei Levendorskii, 2004.
"Practical guide to real options in discrete time,"
Papers
cond-mat/0404106, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorski&icaron;, 2007. "Practical Guide To Real Options In Discrete Time," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 48(1), pages 311-342, February.
- Svetlana Boyarchenko & Sergei Levendorskii, 2005. "Practical guide to real options in discrete time II," Finance 0501014, University Library of Munich, Germany.
- Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Practical guide to real options in discrete time," Finance 0405016, University Library of Munich, Germany.
- Sergey Levendorskiy & Svetlana Boyarchenko, 2004. "Practical guide to real options in discrete time," Computing in Economics and Finance 2004 137, Society for Computational Economics.
Cited by:
- Svetlana Boyarchenko & Sergei Levendorskii, 2005.
"American options: the EPV pricing model,"
Annals of Finance, Springer, vol. 1(3), pages 267-292, August.
- Svetlana Boyarchenko & Sergei Levendorskii, 2004. "American options: the EPV pricing model," Finance 0405024, University Library of Munich, Germany.
- Neal Detert & Koji Kotani, 2012.
"Real options approach to renewable energy investments in Mongolia,"
Working Papers
EMS_2012_10, Research Institute, International University of Japan.
- Detert, Neal & Kotani, Koji, 2013. "Real options approach to renewable energy investments in Mongolia," Energy Policy, Elsevier, vol. 56(C), pages 136-150.
- Driouchi, Tarik & So, Raymond H.Y. & Trigeorgis, Lenos, 2020. "Investor ambiguity, systemic banking risk and economic activity: The case of too-big-to-fail," Journal of Corporate Finance, Elsevier, vol. 62(C).
- Jukka Lempa, 2006.
"On Infinite Horizon Optimal Stopping of General Random Walk,"
Discussion Papers
3, Aboa Centre for Economics.
- Jukka Lempa, 2008. "On infinite horizon optimal stopping of general random walk," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 67(2), pages 257-268, April.
- Svetlana Boyarchenko & Sergey Levendorskiy, 2004.
"Optimal stopping made easy,"
Finance
0410016, University Library of Munich, Germany.
- Boyarchenko, Svetlana & Levendorskii[caron], Sergei, 2007. "Optimal stopping made easy," Journal of Mathematical Economics, Elsevier, vol. 43(2), pages 201-217, February.
- Das Gupta, Supratim, 2021. "Using real options to value capacity additions and investment expenditures in renewable energies in India," Energy Policy, Elsevier, vol. 148(PA).
- Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Universal bad news principle and pricing of options on dividend-paying assets," Papers cond-mat/0404108, arXiv.org.
- Fernando A. C. C. Fonte & Dalila B. M. M. Fontes, 2007. "Optimal investment timing using Markov jump price processes," FEP Working Papers 245, Universidade do Porto, Faculdade de Economia do Porto.
- Svetlana Boyarchenko & Sergei Levendorskii, 2005. "A theory of endogenous time preference, and discounted utility anomalies," Microeconomics 0506005, University Library of Munich, Germany.
- Das Gupta, Supratim, 2018. "Using real options to study the impact of capacity additions and investment expenditures in renewable energies in India," MPRA Paper 90441, University Library of Munich, Germany.
- Luis Alvarez & Teppo Rakkolainen, 2010. "Investment timing in presence of downside risk: a certainty equivalent characterization," Annals of Finance, Springer, vol. 6(3), pages 317-333, July.
- Luis Alvarez & Teppo Rakkolainen, 2009. "Optimal payout policy in presence of downside risk," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(1), pages 27-58, March.
- Svetlana Boyarchenko & Sergei Levendorskii, 2005. "Discount factors ex post and ex ante, and discounted utility anomalies," Microeconomics 0510013, University Library of Munich, Germany, revised 13 Dec 2005.
- Boyarchenko, Svetlana & Levendorskii, Sergei, 2008. "Exit problems in regime-switching models," Journal of Mathematical Economics, Elsevier, vol. 44(2), pages 180-206, January.
- Boyarchenko, Svetlana & Levendorskii, Sergei, 2010. "Optimal stopping in Levy models, for non-monotone discontinuous payoffs," MPRA Paper 27999, University Library of Munich, Germany.
- Svetlana Boyarchenko & Sergey Levendorskiy, 2004.
"Optimal stopping made easy,"
Finance
0410016, University Library of Munich, Germany.
- Boyarchenko, Svetlana & Levendorskii[caron], Sergei, 2007. "Optimal stopping made easy," Journal of Mathematical Economics, Elsevier, vol. 43(2), pages 201-217, February.
Cited by:
- Mohammad Hossein Dehghani, 2014. "Strategic Technology Adoption under Technological Uncertainty," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 18(1), pages 1-31, Winter.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022. "Efficient evaluation of expectations of functions of a stable L\'evy process and its extremum," Papers 2209.12349, arXiv.org.
- Luis H. R. Alvarez E. & Pekka Matomaki & Teppo A. Rakkolainen, 2013.
"A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions,"
Papers
1302.4181, arXiv.org.
- Luis H. R. Alvarez & Teppo A. Rakkolainen, 2006. "A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions," Discussion Papers 9, Aboa Centre for Economics.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022. "Efficient inverse $Z$-transform and pricing barrier and lookback options with discrete monitoring," Papers 2207.02858, arXiv.org, revised Jul 2022.
- Svetlana Boyarchenko & Sergei Levendorskii, 2011.
"Preemption Games under Levy Uncertainty,"
Department of Economics Working Papers
131101, The University of Texas at Austin, Department of Economics, revised Oct 2014.
- Boyarchenko, Svetlana & Levendorskiĭ, Sergei, 2014. "Preemption games under Lévy uncertainty," Games and Economic Behavior, Elsevier, vol. 88(C), pages 354-380.
- Jaap H. Abbring & Tim Salimans, 2019. "The Likelihood of Mixed Hitting Times," Papers 1905.03463, arXiv.org, revised Apr 2021.
- Abel Azze & Bernardo D'Auria & Eduardo Garc'ia-Portugu'es, 2022. "Optimal exercise of American options under time-dependent Ornstein-Uhlenbeck processes," Papers 2211.04095, arXiv.org, revised Jun 2024.
- Jaap H. Abbring, 2010. "Identification of Dynamic Discrete Choice Models," Annual Review of Economics, Annual Reviews, vol. 2(1), pages 367-394, September.
- Livdan, Dmitry & Nezlobin, Alexander, 2022. "Incentivizing irreversible investment," LSE Research Online Documents on Economics 110531, London School of Economics and Political Science, LSE Library.
- Relativo, Jona Princess & Sumayang, Mildred & Diasana, Sarah Jean & Murcia, John Vianne, 2016. "Capital Investment Decisions of Micro, Small and Medium Enterprises: The Case of Digos City," MPRA Paper 79574, University Library of Munich, Germany, revised 07 Jun 2017.
- Fernando A. C. C. Fonte & Dalila B. M. M. Fontes, 2007. "Optimal investment timing using Markov jump price processes," FEP Working Papers 245, Universidade do Porto, Faculdade de Economia do Porto.
- Abbring, Jaap H. & Salimans, Tim, 2021. "The likelihood of mixed hitting times," Journal of Econometrics, Elsevier, vol. 223(2), pages 361-375.
- Svetlana Boyarchenko & Sergei Levendorskii, 2023. "Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in L\'evy models," Papers 2312.03915, arXiv.org.
- Abbring, J.H., 2009. "Mixed Hitting-Time Models," Other publications TiSEM 6c745572-a041-4990-a767-6, Tilburg University, School of Economics and Management.
- Jaap H. Abbring, 0000. "Mixed Hitting-Time Models," Tinbergen Institute Discussion Papers 07-057/3, Tinbergen Institute, revised 11 Aug 2009.
- Svetlana Boyarchenko & Sergei Levendorskii, 2005. "A theory of endogenous time preference, and discounted utility anomalies," Microeconomics 0506005, University Library of Munich, Germany.
- Jaap Abbring, 2007.
"Mixed hitting-time models,"
CeMMAP working papers
CWP15/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Jaap H. Abbring, 2012. "Mixed Hitting‐Time Models," Econometrica, Econometric Society, vol. 80(2), pages 783-819, March.
- Abbring, J.H., 2009. "Mixed Hitting-Time Models," Discussion Paper 2009-62, Tilburg University, Center for Economic Research.
- Mitya Boyarchenko & Marco De Innocentis & Sergei Levendorskiĭ, 2011. "Prices Of Barrier And First-Touch Digital Options In Lévy-Driven Models, Near Barrier," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(07), pages 1045-1090.
- Yong-Chao Zhang, 2017. "Entry–Exit Decisions with Underlying Processes Following Geometric Lévy Processes," Journal of Optimization Theory and Applications, Springer, vol. 172(1), pages 309-327, January.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022. "Efficient evaluation of double-barrier options and joint cpdf of a L\'evy process and its two extrema," Papers 2211.07765, arXiv.org.
- GAHUNGU, Joachim & SMEERS, Yves, 2011. "Sufficient and necessary conditions for perpetual multi-assets exchange options," LIDAM Discussion Papers CORE 2011035, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Dehghani Mohammad H., 2014. "Policy Uncertainty and Technology Adoption," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 14(4), pages 1405-1430, October.
- Mike G. Tsionas & Pankaj C. Patel, 2022. "An entrepreneur's dilemma: An optimal stopping rule in pivoting," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 43(8), pages 3498-3515, December.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2023. "Efficient inverse $Z$-transform: sufficient conditions," Papers 2305.10725, arXiv.org.
- Mitya Boyarchenko & Sergei Levendorskiĭ, 2009. "Prices And Sensitivities Of Barrier And First-Touch Digital Options In Lévy-Driven Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(08), pages 1125-1170.
- Sergei Levendorskiĭ, 2022. "Operators and Boundary Problems in Finance, Economics and Insurance: Peculiarities, Efficient Methods and Outstanding Problems," Mathematics, MDPI, vol. 10(7), pages 1-36, March.
- Moreno Othón M., 2014. "Consumption of Durable Goods under Ambiguity," Working Papers 2014-02, Banco de México.
- Luis Alvarez & Teppo Rakkolainen, 2010. "Investment timing in presence of downside risk: a certainty equivalent characterization," Annals of Finance, Springer, vol. 6(3), pages 317-333, July.
- Luis Alvarez & Teppo Rakkolainen, 2009. "Optimal payout policy in presence of downside risk," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(1), pages 27-58, March.
- Svetlana Boyarchenko & Sergei Levendorskii, 2005. "Discount factors ex post and ex ante, and discounted utility anomalies," Microeconomics 0510013, University Library of Munich, Germany, revised 13 Dec 2005.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2024. "Alternative models for FX: pricing double barrier options in regime-switching L\'evy models with memory," Papers 2402.16724, arXiv.org.
- Nader Karimi & Hirbod Assa & Erfan Salavati & Hojatollah Adibi, 2023. "Calibration of Storage Model by Multi-Stage Statistical and Machine Learning Methods," Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1437-1455, December.
- Boyarchenko, Svetlana & Levendorskii, Sergei, 2010. "Optimal stopping in Levy models, for non-monotone discontinuous payoffs," MPRA Paper 27999, University Library of Munich, Germany.
- Svetlana Boyarchenko & Sergei Levendorskii, 2004.
"American options: the EPV pricing model,"
Finance
0405024, University Library of Munich, Germany.
- Svetlana Boyarchenko & Sergei Levendorskii, 2005. "American options: the EPV pricing model," Annals of Finance, Springer, vol. 1(3), pages 267-292, August.
Cited by:
- Oscar Gutiérrez & Francisco Ruiz-Aliseda, 2011.
"Real options with unknown-date events,"
Annals of Finance, Springer, vol. 7(2), pages 171-198, May.
- Oscar Gutierrez Arnaiz & Francisco Ruiz-Aliseda, 2003. "Real Options with Unknown-Date Events," Discussion Papers 1378, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Florian Kleinert & Kees van Schaik, 2013. "A variation of the Canadisation algorithm for the pricing of American options driven by L\'evy processes," Papers 1304.4534, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022. "Efficient evaluation of expectations of functions of a stable L\'evy process and its extremum," Papers 2209.12349, arXiv.org.
- Luis H. R. Alvarez E. & Pekka Matomaki & Teppo A. Rakkolainen, 2013.
"A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions,"
Papers
1302.4181, arXiv.org.
- Luis H. R. Alvarez & Teppo A. Rakkolainen, 2006. "A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions," Discussion Papers 9, Aboa Centre for Economics.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022. "Efficient inverse $Z$-transform and pricing barrier and lookback options with discrete monitoring," Papers 2207.02858, arXiv.org, revised Jul 2022.
- Svetlana Boyarchenko & Sergey Levendorskiy, 2004.
"Optimal stopping made easy,"
Finance
0410016, University Library of Munich, Germany.
- Boyarchenko, Svetlana & Levendorskii[caron], Sergei, 2007. "Optimal stopping made easy," Journal of Mathematical Economics, Elsevier, vol. 43(2), pages 201-217, February.
- Oleg Kudryavtsev & Antonino Zanette, 2013. "Efficient pricing of swing options in L�vy-driven models," Quantitative Finance, Taylor & Francis Journals, vol. 13(4), pages 627-635, March.
- Svetlana Boyarchenko & Sergei Levendorskii, 2005. "A theory of endogenous time preference, and discounted utility anomalies," Microeconomics 0506005, University Library of Munich, Germany.
- Philipp N. Baecker, 2007. "Real Options and Intellectual Property," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-540-48264-2, October.
- Christian Flor & Simon Hansen, 2013. "Technological advances and the decision to invest," Annals of Finance, Springer, vol. 9(3), pages 383-420, August.
- Svetlana Boyarchenko & Sergei Levendorskii, 2005.
"General option exercise rules, with applications to embedded options and monopolistic expansion,"
Finance
0511001, University Library of Munich, Germany.
- Svetlana Boyarchenko & Sergei Levendorskii, 2006. "General option exercise rules, with applications to embedded options and monopolistic expansion," 2006 Meeting Papers 312, Society for Economic Dynamics.
- Boyarchenko Svetlana & Levendorskii Sergei Z, 2006. "General Option Exercise Rules, with Applications to Embedded Options and Monopolistic Expansion," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 6(1), pages 1-53, June.
- Kleinert, Florian & van Schaik, Kees, 2015. "A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 125(8), pages 3234-3254.
- Sergei Levendorskiĭ, 2022. "Operators and Boundary Problems in Finance, Economics and Insurance: Peculiarities, Efficient Methods and Outstanding Problems," Mathematics, MDPI, vol. 10(7), pages 1-36, March.
- Luis Alvarez & Teppo Rakkolainen, 2010. "Investment timing in presence of downside risk: a certainty equivalent characterization," Annals of Finance, Springer, vol. 6(3), pages 317-333, July.
- Luis Alvarez & Teppo Rakkolainen, 2009. "Optimal payout policy in presence of downside risk," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(1), pages 27-58, March.
- Oleg Kudryavtsev, 2024. "A simplified Wiener–Hopf factorization method for pricing double barrier options under Lévy processes," Computational Management Science, Springer, vol. 21(1), pages 1-30, June.
- Svetlana Boyarchenko & Sergei Levendorskii, 2005. "Discount factors ex post and ex ante, and discounted utility anomalies," Microeconomics 0510013, University Library of Munich, Germany, revised 13 Dec 2005.
- Boyarchenko, Svetlana & Levendorskii, Sergei, 2008. "Exit problems in regime-switching models," Journal of Mathematical Economics, Elsevier, vol. 44(2), pages 180-206, January.
- Boyarchenko, Svetlana & Levendorskii, Sergei, 2010. "Optimal stopping in Levy models, for non-monotone discontinuous payoffs," MPRA Paper 27999, University Library of Munich, Germany.
- Svetlana Boyarchenko & Sergei Levendorskii, 2004.
"Universal bad news principle and pricing of options on dividend-paying assets,"
Papers
cond-mat/0404108, arXiv.org.
Cited by:
- Svetlana Boyarchenko & Sergei Levendorskii, 2004.
"Real options and the universal bad news principle,"
Levine's Bibliography
122247000000000430, UCLA Department of Economics.
- Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Real options and the universal bad news principle," Finance 0405011, University Library of Munich, Germany.
- Flavia Barsotti, 2012. "Optimal Capital Structure with Endogenous Default and Volatility Risk," Working Papers - Mathematical Economics 2012-02, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Svetlana Boyarchenko & Sergei Levendorskii, 2004.
"Real options and the universal bad news principle,"
Levine's Bibliography
122247000000000430, UCLA Department of Economics.
- Svetlana Boyarchenko & Sergei Levendorskii, 2004.
"Inside and Outside Money, with an Application to the Russian Virtual Economy,"
Macroeconomics
0405009, University Library of Munich, Germany.
Cited by:
- Agapov Stanislav & Boyarchenko Svetlana & Levendorsky Sergey, 2003. "A Three-Sector Model of the Russian Virtual Economy," EERC Working Paper Series 02-06e, EERC Research Network, Russia and CIS.
- Svetlana Boyarchenko & Sergei Levendorskii, 2004.
"Real options and the universal bad news principle,"
Levine's Bibliography
122247000000000430, UCLA Department of Economics.
- Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Real options and the universal bad news principle," Finance 0405011, University Library of Munich, Germany.
Cited by:
- Svetlana Boyarchenko & Sergey Levendorskiy, 2004.
"Optimal stopping made easy,"
Finance
0410016, University Library of Munich, Germany.
- Boyarchenko, Svetlana & Levendorskii[caron], Sergei, 2007. "Optimal stopping made easy," Journal of Mathematical Economics, Elsevier, vol. 43(2), pages 201-217, February.
- Flavia Barsotti, 2012. "Optimal Capital Structure with Endogenous Default and Volatility Risk," Working Papers - Mathematical Economics 2012-02, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Svetlana Boyarchenko, 2001.
"Arrow's Equivalency Theorem in a Model with Neoclassical Firms,"
Penn CARESS Working Papers
19898b45c40f0986f4bd94f12, Penn Economics Department.
- Svetlana Boyarchenko, 2004. "Arrow's equivalency theorem in a model with neoclassical firms," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 23(4), pages 739-775, May.
Cited by:
- Alberto Bisin & Gian Luca Clementi & Piero Gottardi, 2014.
"Capital Structure and Hedging Demand with Incomplete Markets,"
NBER Working Papers
20345, National Bureau of Economic Research, Inc.
- Bisin, Alberto & Clementi, Gian Luca & Gottardi, Piero, 2022. "Capital Structure and Hedging Demand with Incomplete Markets," CEPR Discussion Papers 16968, C.E.P.R. Discussion Papers.
- Alberto Bisin & Piero Gottardi & Guido Ruta, 2010.
"Equilibrium Corporate Finance,"
Economics Working Papers
ECO2010/01, European University Institute.
- Guido Ruta & Piero Gottardi, 2009. "Equilibrium corporate finance," 2009 Meeting Papers 149, Society for Economic Dynamics.
- Zierhut, Michael, 2019. "Nonexistence of constrained efficient production plans," Journal of Mathematical Economics, Elsevier, vol. 83(C), pages 127-136.
- Piero Gottardi & Guido Ruta & Alberto Bisin, 2015.
"Equilibrium Corporate Finance and Intermediation,"
2015 Meeting Papers
358, Society for Economic Dynamics.
- Bisin, Alberto; & Gottardi, Piero; & Ruta, Guido, 2014. "Equilibrium corporate finance and intermediation," Economics Working Papers ECO2014/09, European University Institute.
- Svetlana Boyarchenko, 2001.
"Capital Accumulation under Non-Gaussian Processes and the Marshallian Law,"
Penn CARESS Working Papers
471ab9dee66c9aa1d3ef23dd9, Penn Economics Department.
Cited by:
- Svetlana Boyarchenko & Sergei Levendorskii, 2005.
"Practical guide to real options in discrete time II,"
Finance
0501014, University Library of Munich, Germany.
- Svetlana Boyarchenko & Sergei Levendorski&icaron;, 2007. "Practical Guide To Real Options In Discrete Time," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 48(1), pages 311-342, February.
- Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Practical guide to real options in discrete time," Papers cond-mat/0404106, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Practical guide to real options in discrete time," Finance 0405016, University Library of Munich, Germany.
- Sergey Levendorskiy & Svetlana Boyarchenko, 2004. "Practical guide to real options in discrete time," Computing in Economics and Finance 2004 137, Society for Computational Economics.
- Svetlana Boyarchenko & Sergei Levendorskii, 2005.
"Practical guide to real options in discrete time II,"
Finance
0501014, University Library of Munich, Germany.
- S.I. Boyarchenko & S.Z. Levendorskii, 2000.
"Search-Money-and-Barter Models of Financial Stabilization,"
William Davidson Institute Working Papers Series
332, William Davidson Institute at the University of Michigan.
Cited by:
- Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Inside and Outside Money, with an Application to the Russian Virtual Economy," Macroeconomics 0405009, University Library of Munich, Germany.
- Mechthild SCHROOTEN, 2003. "Fiscal Federalism And Regional Development In Russia," Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var, vol. 18, pages 53-72.
- Vlad Ivanenko, 2001. "Effective Tax Rates in Transition," William Davidson Institute Working Papers Series 378, William Davidson Institute at the University of Michigan.
- Agapov Stanislav & Boyarchenko Svetlana & Levendorsky Sergey, 2003. "A Three-Sector Model of the Russian Virtual Economy," EERC Working Paper Series 02-06e, EERC Research Network, Russia and CIS.
- Richard B. Goud Jr., 2002. "Inter-Firm Non-Monetary Transactions in Russia: A Literature Review," Development and Comp Systems 0207001, University Library of Munich, Germany.
- Frederic Chabellard, 2001. "Dollarization of Liabilities in Non-tradable Goods Sector," William Davidson Institute Working Papers Series 380, William Davidson Institute at the University of Michigan.
- Boyarchenko Svetlana & Levendorsky Sergey, 1998.
"Models of Investment under Uncertainty when Shocks are Non-Gaussian. On the Impact of the Policy Uncertainty on Investment,"
EERC Working Paper Series
98-02e, EERC Research Network, Russia and CIS.
Cited by:
- Svetlana Boyarchenko, 2004. "Irreversible Decisions and Record-Setting News Principles," American Economic Review, American Economic Association, vol. 94(3), pages 557-568, June.
Articles
- Svetlana Boyarchenko & Sergei Levendorskiä¬ & J. Lars Kyrkby & Zhenyu Cui, 2021.
"Sinh-Acceleration For B-Spline Projection With Option Pricing Applications,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 24(08), pages 1-50, December.
See citations under working paper version above.
- Svetlana Boyarchenko & Sergei Levendorskiu{i} & J. Lars Kirkby & Zhenyu Cui, 2021. "SINH-acceleration for B-spline projection with Option Pricing Applications," Papers 2109.08738, arXiv.org.
- Boyarchenko, Svetlana, 2021.
"Inefficiency of sponsored research,"
Journal of Mathematical Economics, Elsevier, vol. 95(C).
Cited by:
- Farzad Pourbabaee, 2024. "Reputation, learning and project choice in frictional economies," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 78(4), pages 1075-1115, December.
- Svetlana Boyarchenko, 2020.
"Super- and submodularity of stopping games with random observations,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 70(4), pages 983-1022, November.
Cited by:
- Farzad Pourbabaee, 2024. "Reputation, learning and project choice in frictional economies," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 78(4), pages 1075-1115, December.
- Rabah Amir, 2020.
"Special Issue: Supermodularity and Monotonicity in Economics,"
Post-Print
hal-03122852, HAL.
- Rabah Amir, 2020. "Special Issue: Supermodularity and Monotonicity in Economics," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 70(4), pages 907-911, November.
- Boyarchenko, Svetlana, 2021. "Inefficiency of sponsored research," Journal of Mathematical Economics, Elsevier, vol. 95(C).
- Svetlana Boyarchenko & Sergei Levendorskiĭ, 2020.
"Static and semistatic hedging as contrarian or conformist bets,"
Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 921-960, July.
See citations under working paper version above.
- Svetlana Boyarchenko & Sergei Levendorskii, 2019. "Static and semi-static hedging as contrarian or conformist bets," Papers 1902.02854, arXiv.org.
- Svetlana Boyarchenko & Piin‐Hueih Chiang, 2019.
"Industry equilibrium with random exit or default,"
Journal of Public Economic Theory, Association for Public Economic Theory, vol. 21(4), pages 650-686, August.
Cited by:
- Bernard Franck & Nicolas Le Pape, 2020. "The limited liability effect: Implications for anticompetitive horizontal mergers," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 22(6), pages 2082-2102, December.
- Svetlana Boyarchenko & Sergei Levendorskiĭ, 2019.
"Sinh-Acceleration: Efficient Evaluation Of Probability Distributions, Option Pricing, And Monte Carlo Simulations,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(03), pages 1-49, May.
See citations under working paper version above.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2018. "SINH-acceleration: efficient evaluation of probability distributions, option pricing, and Monte-Carlo simulations," Papers 1808.05295, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskiĭ, 2017.
"Efficient Pricing Of Barrier Options And Credit Default Swaps In Lévy Models With Stochastic Interest Rate,"
Mathematical Finance, Wiley Blackwell, vol. 27(4), pages 1089-1123, October.
Cited by:
- Svetlana Boyarchenko & Sergei Levendorskiä¬ & J. Lars Kyrkby & Zhenyu Cui, 2021.
"Sinh-Acceleration For B-Spline Projection With Option Pricing Applications,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 24(08), pages 1-50, December.
- Svetlana Boyarchenko & Sergei Levendorskiu{i} & J. Lars Kirkby & Zhenyu Cui, 2021. "SINH-acceleration for B-spline projection with Option Pricing Applications," Papers 2109.08738, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskiĭ, 2019.
"Sinh-Acceleration: Efficient Evaluation Of Probability Distributions, Option Pricing, And Monte Carlo Simulations,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(03), pages 1-49, May.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2018. "SINH-acceleration: efficient evaluation of probability distributions, option pricing, and Monte-Carlo simulations," Papers 1808.05295, arXiv.org.
- Robert A. Jarrow & Pierre Patie & Anna Srapionyan & Yixuan Zhao, 2021. "Risk‐neutral pricing techniques and examples," Mathematical Finance, Wiley Blackwell, vol. 31(3), pages 857-884, July.
- Svetlana Boyarchenko & Sergei Levendorskiä¬ & J. Lars Kyrkby & Zhenyu Cui, 2021.
"Sinh-Acceleration For B-Spline Projection With Option Pricing Applications,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 24(08), pages 1-50, December.
- Boyarchenko, Svetlana & Levendorskiĭ, Sergei, 2014.
"Preemption games under Lévy uncertainty,"
Games and Economic Behavior, Elsevier, vol. 88(C), pages 354-380.
See citations under working paper version above.
- Svetlana Boyarchenko & Sergei Levendorskii, 2011. "Preemption Games under Levy Uncertainty," Department of Economics Working Papers 131101, The University of Texas at Austin, Department of Economics, revised Oct 2014.
- Svetlana Boyarchenko & Sergei Levendorskiĭ, 2013.
"Efficient Laplace Inversion, Wiener-Hopf Factorization And Pricing Lookbacks,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(03), pages 1-40.
Cited by:
- Svetlana Boyarchenko & Sergei Levendorskiä¬ & J. Lars Kyrkby & Zhenyu Cui, 2021.
"Sinh-Acceleration For B-Spline Projection With Option Pricing Applications,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 24(08), pages 1-50, December.
- Svetlana Boyarchenko & Sergei Levendorskiu{i} & J. Lars Kirkby & Zhenyu Cui, 2021. "SINH-acceleration for B-spline projection with Option Pricing Applications," Papers 2109.08738, arXiv.org.
- Sergei Levendorskiĭ, 2017. "ULTRA-FAST PRICING BARRIER OPTIONS AND CDSs," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(05), pages 1-27, August.
- Svetlana Boyarchenko & Sergei Levendorskii, 2019.
"Static and semi-static hedging as contrarian or conformist bets,"
Papers
1902.02854, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskiĭ, 2020. "Static and semistatic hedging as contrarian or conformist bets," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 921-960, July.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022. "Efficient inverse $Z$-transform and pricing barrier and lookback options with discrete monitoring," Papers 2207.02858, arXiv.org, revised Jul 2022.
- Walter Farkas & Ludovic Mathys, 2020. "Geometric Step Options with Jumps. Parity Relations, PIDEs, and Semi-Analytical Pricing," Papers 2002.09911, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskii, 2023. "Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in L\'evy models," Papers 2312.03915, arXiv.org.
- Weinan Zhang & Pingping Zeng, 2023. "A transform-based method for pricing Asian options under general two-dimensional models," Quantitative Finance, Taylor & Francis Journals, vol. 23(11), pages 1677-1697, November.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022. "L\'evy models amenable to efficient calculations," Papers 2207.02359, arXiv.org.
- Gongqiu Zhang & Lingfei Li, 2021. "A General Approach for Lookback Option Pricing under Markov Models," Papers 2112.00439, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022. "Efficient evaluation of double-barrier options and joint cpdf of a L\'evy process and its two extrema," Papers 2211.07765, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskiĭ, 2019.
"Sinh-Acceleration: Efficient Evaluation Of Probability Distributions, Option Pricing, And Monte Carlo Simulations,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(03), pages 1-49, May.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2018. "SINH-acceleration: efficient evaluation of probability distributions, option pricing, and Monte-Carlo simulations," Papers 1808.05295, arXiv.org.
- Sergei Levendorskiĭ, 2022. "Operators and Boundary Problems in Finance, Economics and Insurance: Peculiarities, Efficient Methods and Outstanding Problems," Mathematics, MDPI, vol. 10(7), pages 1-36, March.
- Svetlana Boyarchenko & Sergei Levendorskii, 2023. "Efficient evaluation of joint pdf of a L\'evy process, its extremum, and hitting time of the extremum," Papers 2312.05222, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskiä¬ & J. Lars Kyrkby & Zhenyu Cui, 2021.
"Sinh-Acceleration For B-Spline Projection With Option Pricing Applications,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 24(08), pages 1-50, December.
- Svetlana Boyarchenko & Sergei LevendorskiĬ, 2013.
"American Options in the Heston Model with Stochastic Interest Rate and Its Generalizations,"
Applied Mathematical Finance, Taylor & Francis Journals, vol. 20(1), pages 26-49, March.
Cited by:
- Weinan Zhang & Pingping Zeng, 2023. "A transform-based method for pricing Asian options under general two-dimensional models," Quantitative Finance, Taylor & Francis Journals, vol. 23(11), pages 1677-1697, November.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022. "Efficient evaluation of double-barrier options and joint cpdf of a L\'evy process and its two extrema," Papers 2211.07765, arXiv.org.
- J. Lars Kirkby & Duy Nguyen, 2020. "Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models," Annals of Finance, Springer, vol. 16(3), pages 307-351, September.
- O. Samimi & Z. Mardani & S. Sharafpour & F. Mehrdoust, 2017. "LSM Algorithm for Pricing American Option Under Heston–Hull–White’s Stochastic Volatility Model," Computational Economics, Springer;Society for Computational Economics, vol. 50(2), pages 173-187, August.
- Sergei Levendorskiĭ, 2022. "Operators and Boundary Problems in Finance, Economics and Insurance: Peculiarities, Efficient Methods and Outstanding Problems," Mathematics, MDPI, vol. 10(7), pages 1-36, March.
- Anna Battauz & Francesco Rotondi, 2022. "American options and stochastic interest rates," Computational Management Science, Springer, vol. 19(4), pages 567-604, October.
- Andrey Itkin, 2015. "LSV models with stochastic interest rates and correlated jumps," Papers 1511.01460, arXiv.org, revised Nov 2016.
- L. C. G. Rogers, 2015. "Bermudan options by simulation," Papers 1508.06117, arXiv.org, revised Jan 2016.
- Mitya Boyarchenko & Svetlana Boyarchenko, 2011.
"Double Barrier Options In Regime-Switching Hyper-Exponential Jump-Diffusion Models,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(07), pages 1005-1043.
Cited by:
- Julien Chevallier & Stéphane Goutte & Khaled Guesmi & Samir Saadi, 2019. "Study of the dynamic of Bitcoin's price," Working Papers halshs-02175669, HAL.
- Svetlana Boyarchenko & Sergei Levendorskii, 2019.
"Static and semi-static hedging as contrarian or conformist bets,"
Papers
1902.02854, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskiĭ, 2020. "Static and semistatic hedging as contrarian or conformist bets," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 921-960, July.
- Julien Chevallier & Stéphane Goutte & Khaled Guesmi & Samir Saadi, 2019. "On the Bitcoin price dynamics: an augmented Markov-Switching model with Lévy jumps," Working Papers halshs-02120636, HAL.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022. "Efficient inverse $Z$-transform and pricing barrier and lookback options with discrete monitoring," Papers 2207.02858, arXiv.org, revised Jul 2022.
- Walter Farkas & Ludovic Mathys, 2020. "Geometric Step Options with Jumps. Parity Relations, PIDEs, and Semi-Analytical Pricing," Papers 2002.09911, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskii, 2023. "Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in L\'evy models," Papers 2312.03915, arXiv.org.
- Weinan Zhang & Pingping Zeng, 2023. "A transform-based method for pricing Asian options under general two-dimensional models," Quantitative Finance, Taylor & Francis Journals, vol. 23(11), pages 1677-1697, November.
- Ming-Chi Chang & Yuan-Chung Sheu, 2013. "Free boundary problems and perpetual American strangles," Quantitative Finance, Taylor & Francis Journals, vol. 13(8), pages 1149-1155, July.
- Qinjing Qiu & Reiichiro Kawai, 2023. "Iterative Weak Approximation and Hard Bounds for Switching Diffusion," Journal of Theoretical Probability, Springer, vol. 36(2), pages 1003-1036, June.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022. "Efficient evaluation of double-barrier options and joint cpdf of a L\'evy process and its two extrema," Papers 2211.07765, arXiv.org.
- Lee, Sangjun & Zhao, Jinhua, 2021. "Adaptation to climate change: Extreme events versus gradual changes," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
- Hainaut, Donatien & Moraux, Franck, 2019.
"A switching self-exciting jump diffusion process for stock prices,"
LIDAM Reprints ISBA
2019017, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Donatien Hainaut & Franck Moraux, 2019. "A switching self-exciting jump diffusion process for stock prices," Post-Print halshs-01909772, HAL.
- Hainaut, Donatien & Moraux, Franck, 2018. "A switching self-exciting jump diffusion process for stock prices," LIDAM Discussion Papers ISBA 2018013, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Donatien Hainaut & Franck Moraux, 2019. "A switching self-exciting jump diffusion process for stock prices," Annals of Finance, Springer, vol. 15(2), pages 267-306, June.
- Sergei Levendorskiĭ, 2022. "Operators and Boundary Problems in Finance, Economics and Insurance: Peculiarities, Efficient Methods and Outstanding Problems," Mathematics, MDPI, vol. 10(7), pages 1-36, March.
- Svetlana Boyarchenko & Sergei Levendorskii, 2023. "Efficient evaluation of joint pdf of a L\'evy process, its extremum, and hitting time of the extremum," Papers 2312.05222, arXiv.org.
- Boyarchenko, Svetlana & Levendorskii, Sergei, 2008.
"Exit problems in regime-switching models,"
Journal of Mathematical Economics, Elsevier, vol. 44(2), pages 180-206, January.
Cited by:
- Svetlana Boyarchenko & Sergei Levendorskii, 2023. "Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in L\'evy models," Papers 2312.03915, arXiv.org.
- Weinan Zhang & Pingping Zeng, 2023. "A transform-based method for pricing Asian options under general two-dimensional models," Quantitative Finance, Taylor & Francis Journals, vol. 23(11), pages 1677-1697, November.
- Peter Hieber, 2018. "Pricing exotic options in a regime switching economy: a Fourier transform method," Review of Derivatives Research, Springer, vol. 21(2), pages 231-252, July.
- Eisenberg, Julia & Krühner, Paul, 2018. "The impact of negative interest rates on optimal capital injections," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 1-10.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022. "Efficient evaluation of double-barrier options and joint cpdf of a L\'evy process and its two extrema," Papers 2211.07765, arXiv.org.
- Zhengjun Jiang & Martijn Pistorius, 2008. "Optimal dividend distribution under Markov-regime switching," Papers 0812.4978, arXiv.org, revised Apr 2011.
- Dehghani Mohammad H., 2014. "Policy Uncertainty and Technology Adoption," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 14(4), pages 1405-1430, October.
- Sergei Levendorskiĭ, 2022. "Operators and Boundary Problems in Finance, Economics and Insurance: Peculiarities, Efficient Methods and Outstanding Problems," Mathematics, MDPI, vol. 10(7), pages 1-36, March.
- Zhengjun Jiang & Martijn Pistorius, 2012. "Optimal dividend distribution under Markov regime switching," Finance and Stochastics, Springer, vol. 16(3), pages 449-476, July.
- Julia Eisenberg & Paul Kruhner, 2016. "The Impact of Negative Interest Rates on Optimal Capital Injections," Papers 1612.06654, arXiv.org.
- He, Yongda & Lin, Boqiang, 2019. "Regime differences and industry heterogeneity of the volatility transmission from the energy price to the PPI," Energy, Elsevier, vol. 176(C), pages 900-916.
- Boyarchenko, Svetlana & Levendorskii, Sergei, 2010. "Optimal stopping in Levy models, for non-monotone discontinuous payoffs," MPRA Paper 27999, University Library of Munich, Germany.
- Boyarchenko, Svetlana & Levendorskii[caron], Sergei, 2007.
"Optimal stopping made easy,"
Journal of Mathematical Economics, Elsevier, vol. 43(2), pages 201-217, February.
See citations under working paper version above.
- Svetlana Boyarchenko & Sergey Levendorskiy, 2004. "Optimal stopping made easy," Finance 0410016, University Library of Munich, Germany.
- Svetlana Boyarchenko & Sergei Levendorski&icaron;, 2007.
"Practical Guide To Real Options In Discrete Time,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 48(1), pages 311-342, February.
See citations under working paper version above.
- Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Practical guide to real options in discrete time," Papers cond-mat/0404106, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskii, 2005. "Practical guide to real options in discrete time II," Finance 0501014, University Library of Munich, Germany.
- Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Practical guide to real options in discrete time," Finance 0405016, University Library of Munich, Germany.
- Sergey Levendorskiy & Svetlana Boyarchenko, 2004. "Practical guide to real options in discrete time," Computing in Economics and Finance 2004 137, Society for Computational Economics.
- Boyarchenko Svetlana & Levendorskii Sergei Z, 2006.
"General Option Exercise Rules, with Applications to Embedded Options and Monopolistic Expansion,"
The B.E. Journal of Theoretical Economics, De Gruyter, vol. 6(1), pages 1-53, June.
See citations under working paper version above.
- Svetlana Boyarchenko & Sergei Levendorskii, 2006. "General option exercise rules, with applications to embedded options and monopolistic expansion," 2006 Meeting Papers 312, Society for Economic Dynamics.
- Svetlana Boyarchenko & Sergei Levendorskii, 2005. "General option exercise rules, with applications to embedded options and monopolistic expansion," Finance 0511001, University Library of Munich, Germany.
- Svetlana Boyarchenko & Sergei Levendorskii, 2005.
"American options: the EPV pricing model,"
Annals of Finance, Springer, vol. 1(3), pages 267-292, August.
See citations under working paper version above.
- Svetlana Boyarchenko & Sergei Levendorskii, 2004. "American options: the EPV pricing model," Finance 0405024, University Library of Munich, Germany.
- Svetlana Boyarchenko, 2004.
"Irreversible Decisions and Record-Setting News Principles,"
American Economic Review, American Economic Association, vol. 94(3), pages 557-568, June.
Cited by:
- Ferrari, Giorgio & Salminen, Paavo, 2016. "Irreversible Investment under Lévy Uncertainty: an Equation for the Optimal Boundary," Center for Mathematical Economics Working Papers 530, Center for Mathematical Economics, Bielefeld University.
- Svetlana Boyarchenko & Sergei Levendorskii, 2005.
"American options: the EPV pricing model,"
Annals of Finance, Springer, vol. 1(3), pages 267-292, August.
- Svetlana Boyarchenko & Sergei Levendorskii, 2004. "American options: the EPV pricing model," Finance 0405024, University Library of Munich, Germany.
- Riedel, Frank & Su, Xia, 2006.
"On Irreversible Investment,"
Bonn Econ Discussion Papers
13/2006, University of Bonn, Bonn Graduate School of Economics (BGSE).
- Frank Riedel & Xia Su, 2011. "On irreversible investment," Finance and Stochastics, Springer, vol. 15(4), pages 607-633, December.
- Luis H. R. Alvarez E. & Pekka Matomaki & Teppo A. Rakkolainen, 2013.
"A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions,"
Papers
1302.4181, arXiv.org.
- Luis H. R. Alvarez & Teppo A. Rakkolainen, 2006. "A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions," Discussion Papers 9, Aboa Centre for Economics.
- Svetlana Boyarchenko & Sergey Levendorskiy, 2004.
"Optimal stopping made easy,"
Finance
0410016, University Library of Munich, Germany.
- Boyarchenko, Svetlana & Levendorskii[caron], Sergei, 2007. "Optimal stopping made easy," Journal of Mathematical Economics, Elsevier, vol. 43(2), pages 201-217, February.
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"The non-neutrality of debt in investment timing: a new NPV rule,"
Annals of Finance, Springer, vol. 1(4), pages 433-445, October.
- Tarun Sabarwal, 2004. "The Non-Neutrality of Debt in Investment Timing: A New NPV Rule," Finance 0410004, University Library of Munich, Germany, revised 23 May 2005.
- Oscar Gutiérrez, 2005. "Real options and the Jorgensonian user cost of capital," Investigaciones Economicas, Fundación SEPI, vol. 29(3), pages 625-630, September.
- Livdan, Dmitry & Nezlobin, Alexander, 2022. "Incentivizing irreversible investment," LSE Research Online Documents on Economics 110531, London School of Economics and Political Science, LSE Library.
- Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Universal bad news principle and pricing of options on dividend-paying assets," Papers cond-mat/0404108, arXiv.org.
- Michi Nishihara & Takashi Sshibata, 2011. "Investment timing with fixed and proportional costs of external financing," Discussion Papers in Economics and Business 11-29, Osaka University, Graduate School of Economics.
- Svetlana Boyarchenko & Sergei Levendorskii, 2005.
"Practical guide to real options in discrete time II,"
Finance
0501014, University Library of Munich, Germany.
- Svetlana Boyarchenko & Sergei Levendorski&icaron;, 2007. "Practical Guide To Real Options In Discrete Time," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 48(1), pages 311-342, February.
- Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Practical guide to real options in discrete time," Papers cond-mat/0404106, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Practical guide to real options in discrete time," Finance 0405016, University Library of Munich, Germany.
- Sergey Levendorskiy & Svetlana Boyarchenko, 2004. "Practical guide to real options in discrete time," Computing in Economics and Finance 2004 137, Society for Computational Economics.
- Svetlana Boyarchenko & Sergei Levendorskii, 2005. "A theory of endogenous time preference, and discounted utility anomalies," Microeconomics 0506005, University Library of Munich, Germany.
- Ferrari, Giorgio & Li, Hanwu & Riedel, Frank, 2020.
"A Knightian Irreversible Investment Problem,"
Center for Mathematical Economics Working Papers
634, Center for Mathematical Economics, Bielefeld University.
- Giorgio Ferrari & Hanwu Li & Frank Riedel, 2020. "A Knightian Irreversible Investment Problem," Papers 2003.14359, arXiv.org, revised Apr 2020.
- Philipp N. Baecker, 2007. "Real Options and Intellectual Property," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-540-48264-2, October.
- Hervé Roche, 2022. "The implications of tax loss carryforwards on investment policy," Mathematics and Financial Economics, Springer, volume 16, number 6, December.
- Rainer Andergassen & Luigi Sereno, 2012. "Valuation of N-stage Investments Under Jump-Diffusion Processes," Computational Economics, Springer;Society for Computational Economics, vol. 39(3), pages 289-313, March.
- Lee, Sangjun & Zhao, Jinhua, 2021. "Adaptation to climate change: Extreme events versus gradual changes," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
- Svetlana Boyarchenko & Sergei Levendorskii, 2004.
"Real options and the universal bad news principle,"
Levine's Bibliography
122247000000000430, UCLA Department of Economics.
- Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Real options and the universal bad news principle," Finance 0405011, University Library of Munich, Germany.
- Giorgio Ferrari & Paavo Salminen, 2014. "Irreversible Investment under L\'evy Uncertainty: an Equation for the Optimal Boundary," Papers 1411.2395, arXiv.org.
- Svetlana Boyarchenko, 2005. "Buridan's Ass and a Menu of Options," Game Theory and Information 0501006, University Library of Munich, Germany, revised 13 Dec 2005.
- Svetlana Boyarchenko & Sergei Levendorskii, 2005.
"General option exercise rules, with applications to embedded options and monopolistic expansion,"
Finance
0511001, University Library of Munich, Germany.
- Svetlana Boyarchenko & Sergei Levendorskii, 2006. "General option exercise rules, with applications to embedded options and monopolistic expansion," 2006 Meeting Papers 312, Society for Economic Dynamics.
- Boyarchenko Svetlana & Levendorskii Sergei Z, 2006. "General Option Exercise Rules, with Applications to Embedded Options and Monopolistic Expansion," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 6(1), pages 1-53, June.
- Sergei Levendorskiĭ, 2022. "Operators and Boundary Problems in Finance, Economics and Insurance: Peculiarities, Efficient Methods and Outstanding Problems," Mathematics, MDPI, vol. 10(7), pages 1-36, March.
- Davis, Graham A. & Cairns, Robert D., 2012. "Good timing: The economics of optimal stopping," Journal of Economic Dynamics and Control, Elsevier, vol. 36(2), pages 255-265.
- Luis Alvarez & Teppo Rakkolainen, 2010. "Investment timing in presence of downside risk: a certainty equivalent characterization," Annals of Finance, Springer, vol. 6(3), pages 317-333, July.
- Luis Alvarez & Teppo Rakkolainen, 2009. "Optimal payout policy in presence of downside risk," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(1), pages 27-58, March.
- Svetlana Boyarchenko & Sergei Levendorskii, 2005. "Discount factors ex post and ex ante, and discounted utility anomalies," Microeconomics 0510013, University Library of Munich, Germany, revised 13 Dec 2005.
- Cerqueti Roy & Ventura Marco, 2015. "Patent Valuation under Spatial Point Processes with Delayed and Decreasing Jump Intensity," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 15(2), pages 433-456, July.
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- Boyarchenko, Svetlana & Levendorskii, Sergei, 2008. "Exit problems in regime-switching models," Journal of Mathematical Economics, Elsevier, vol. 44(2), pages 180-206, January.
- Boyarchenko, Svetlana & Levendorskii, Sergei, 2010. "Optimal stopping in Levy models, for non-monotone discontinuous payoffs," MPRA Paper 27999, University Library of Munich, Germany.
- Svetlana Boyarchenko, 2004.
"Arrow's equivalency theorem in a model with neoclassical firms,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 23(4), pages 739-775, May.
See citations under working paper version above.
- Svetlana Boyarchenko, 2001. "Arrow's Equivalency Theorem in a Model with Neoclassical Firms," Penn CARESS Working Papers 19898b45c40f0986f4bd94f12, Penn Economics Department.
- S. I. Boyarchenko & S. Z. Levendorskii, 2002.
"Pricing of perpetual Bermudan options,"
Quantitative Finance, Taylor & Francis Journals, vol. 2(6), pages 432-442.
Cited by:
- Fusai, Gianluca & Germano, Guido & Marazzina, Daniele, 2016.
"Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options,"
LSE Research Online Documents on Economics
67564, London School of Economics and Political Science, LSE Library.
- Fusai, Gianluca & Germano, Guido & Marazzina, Daniele, 2016. "Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options," European Journal of Operational Research, Elsevier, vol. 251(1), pages 124-134.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022. "Efficient inverse $Z$-transform and pricing barrier and lookback options with discrete monitoring," Papers 2207.02858, arXiv.org, revised Jul 2022.
- Svetlana Boyarchenko & Sergey Levendorskiy, 2004.
"Optimal stopping made easy,"
Finance
0410016, University Library of Munich, Germany.
- Boyarchenko, Svetlana & Levendorskii[caron], Sergei, 2007. "Optimal stopping made easy," Journal of Mathematical Economics, Elsevier, vol. 43(2), pages 201-217, February.
- Svetlana Boyarchenko & Sergei Levendorskii, 2005.
"Practical guide to real options in discrete time II,"
Finance
0501014, University Library of Munich, Germany.
- Svetlana Boyarchenko & Sergei Levendorski&icaron;, 2007. "Practical Guide To Real Options In Discrete Time," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 48(1), pages 311-342, February.
- Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Practical guide to real options in discrete time," Papers cond-mat/0404106, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Practical guide to real options in discrete time," Finance 0405016, University Library of Munich, Germany.
- Sergey Levendorskiy & Svetlana Boyarchenko, 2004. "Practical guide to real options in discrete time," Computing in Economics and Finance 2004 137, Society for Computational Economics.
- San‐Lin Chung & Jr‐Yan Wang, 2018. "A simple iteration algorithm to price perpetual Bermudan options under the lognormal jump‐diffusion‐ruin process," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(8), pages 898-924, August.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2023. "Efficient inverse $Z$-transform: sufficient conditions," Papers 2305.10725, arXiv.org.
- Carolyn E. Phelan & Daniele Marazzina & Guido Germano, 2021. "Pricing methods for $\alpha$-quantile and perpetual early exercise options based on Spitzer identities," Papers 2106.06030, arXiv.org.
- Maximilian Ga{ss} & Kathrin Glau & Maximilian Mair, 2015. "Magic points in finance: Empirical integration for parametric option pricing," Papers 1511.00884, arXiv.org, revised Nov 2016.
- Yoshifumi Muroi & Takashi Yamada, 2008. "An Explicit Finite Difference Approach to the Pricing Problems of Perpetual Bermudan Options," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 15(3), pages 229-253, December.
- Fusai, Gianluca & Germano, Guido & Marazzina, Daniele, 2016.
"Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options,"
LSE Research Online Documents on Economics
67564, London School of Economics and Political Science, LSE Library.
- Svetlana I. Boyarchenko & Sergei Z. Levendorskiǐ, 2000.
"Option Pricing For Truncated Lévy Processes,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 549-552.
Cited by:
- Svetlana Boyarchenko & Sergei Levendorskiä¬ & J. Lars Kyrkby & Zhenyu Cui, 2021.
"Sinh-Acceleration For B-Spline Projection With Option Pricing Applications,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 24(08), pages 1-50, December.
- Svetlana Boyarchenko & Sergei Levendorskiu{i} & J. Lars Kirkby & Zhenyu Cui, 2021. "SINH-acceleration for B-spline projection with Option Pricing Applications," Papers 2109.08738, arXiv.org.
- Young Shin Kim, 2020. "Portfolio Optimization on the Dispersion Risk and the Asymmetric Tail Risk," Papers 2007.13972, arXiv.org, revised Sep 2020.
- Svetlana Boyarchenko & Sergei Levendorskii, 2005.
"American options: the EPV pricing model,"
Annals of Finance, Springer, vol. 1(3), pages 267-292, August.
- Svetlana Boyarchenko & Sergei Levendorskii, 2004. "American options: the EPV pricing model," Finance 0405024, University Library of Munich, Germany.
- Sergei Levendorskiĭ, 2017. "ULTRA-FAST PRICING BARRIER OPTIONS AND CDSs," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(05), pages 1-27, August.
- Young Kim & Svetlozar Rachev & Michele Bianchi & Frank Fabozzi, 2009. "Computing VAR and AVaR in Infinitely Divisible Distributions," Yale School of Management Working Papers amz2569, Yale School of Management.
- Hasan Fallahgoul & Gregoire Loeper, 2021. "Modelling tail risk with tempered stable distributions: an overview," Annals of Operations Research, Springer, vol. 299(1), pages 1253-1280, April.
- Young Shin Kim, 2021. "Sample Path Generation of the Stochastic Volatility CGMY Process and Its Application to Path-Dependent Option Pricing," JRFM, MDPI, vol. 14(2), pages 1-18, February.
- Young Shin Kim, 2019. "Tempered stable process, first passage time, and path-dependent option pricing," Computational Management Science, Springer, vol. 16(1), pages 187-215, February.
- Svetlana Boyarchenko & Sergei Levendorskii, 2019.
"Static and semi-static hedging as contrarian or conformist bets,"
Papers
1902.02854, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskiĭ, 2020. "Static and semistatic hedging as contrarian or conformist bets," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 921-960, July.
- Uwe Kuchler & Stefan Tappe, 2019. "Exponential stock models driven by tempered stable processes," Papers 1907.05142, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022. "Efficient evaluation of expectations of functions of a stable L\'evy process and its extremum," Papers 2209.12349, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022. "Efficient inverse $Z$-transform and pricing barrier and lookback options with discrete monitoring," Papers 2207.02858, arXiv.org, revised Jul 2022.
- Young Shin Kim, 2021. "Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing," Papers 2101.11001, arXiv.org.
- Yunfei Xia & Michael Grabchak, 2024. "Pricing multi-asset options with tempered stable distributions," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-24, December.
- Kirkby, J. Lars & Nguyen, Duy, 2021. "Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 408-428.
- Uwe Kuchler & Stefan Tappe, 2019. "Tempered stable distributions and processes," Papers 1907.05141, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskii, 2023. "Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in L\'evy models," Papers 2312.03915, arXiv.org.
- Liuren Wu, 2006.
"Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns,"
The Journal of Business, University of Chicago Press, vol. 79(3), pages 1445-1474, May.
- Liuren Wu, 2004. "Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns," Finance 0401001, University Library of Munich, Germany.
- Li Chen & Erhan Bayraktar & H. Vincent Poor, 2003.
"Consistency Problems For Jump-Diffusion Models,"
Finance
0304003, University Library of Munich, Germany.
- Erhan Bayraktar & Li Chen & H. Vincent Poor, 2005. "Consistency Problems for Jump-diffusion Models," Applied Mathematical Finance, Taylor & Francis Journals, vol. 12(2), pages 101-119.
- Young Shin Kim & Hyangju Kim & Jaehyung Choi, 2023. "Deep Calibration With Artificial Neural Network: A Performance Comparison on Option Pricing Models," Papers 2303.08760, arXiv.org.
- Semere Habtemicael & Indranil SenGupta, 2016. "Pricing variance and volatility swaps for Barndorff-Nielsen and Shephard process driven financial markets," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(04), pages 1-35, December.
- Sung Ik Kim & Young Shin Kim, 2018. "Tempered stable structural model in pricing credit spread and credit default swap," Review of Derivatives Research, Springer, vol. 21(1), pages 119-148, April.
- Semere Habtemicael & Indranil Sengupta, 2016. "Pricing Covariance Swaps For Barndorff–Nielsen And Shephard Process Driven Financial Markets," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(03), pages 1-32, September.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022. "L\'evy models amenable to efficient calculations," Papers 2207.02359, arXiv.org.
- M A Sánchez-Granero & J E Trinidad-Segovia & J Clara-Rahola & A M Puertas & F J De las Nieves, 2017. "A model for foreign exchange markets based on glassy Brownian systems," PLOS ONE, Public Library of Science, vol. 12(12), pages 1-22, December.
- De Domenico, Federica & Livan, Giacomo & Montagna, Guido & Nicrosini, Oreste, 2023. "Modeling and simulation of financial returns under non-Gaussian distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 622(C).
- El-Khatib, Youssef & Goutte, Stephane & Makumbe, Zororo S. & Vives, Josep, 2023. "A hybrid stochastic volatility model in a Lévy market," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 220-235.
- Kirkby, J. Lars & Mitra, Sovan & Nguyen, Duy, 2020. "An analysis of dollar cost averaging and market timing investment strategies," European Journal of Operational Research, Elsevier, vol. 286(3), pages 1168-1186.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022. "Efficient evaluation of double-barrier options and joint cpdf of a L\'evy process and its two extrema," Papers 2211.07765, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2024. "Efficient inverse $Z$-transform and Wiener-Hopf factorization," Papers 2404.19290, arXiv.org, revised May 2024.
- Michele Leonardo Bianchi & Gian Luca Tassinari & Frank J. Fabozzi, 2016. "Riding With The Four Horsemen And The Multivariate Normal Tempered Stable Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-28, June.
- Svetlana Boyarchenko & Sergei Levendorskiĭ, 2019.
"Sinh-Acceleration: Efficient Evaluation Of Probability Distributions, Option Pricing, And Monte Carlo Simulations,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(03), pages 1-49, May.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2018. "SINH-acceleration: efficient evaluation of probability distributions, option pricing, and Monte-Carlo simulations," Papers 1808.05295, arXiv.org.
- Kim, Sung Ik, 2023. "A comparative study of firm value models: Default risk of corporate bonds," Finance Research Letters, Elsevier, vol. 56(C).
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2023. "Efficient inverse $Z$-transform: sufficient conditions," Papers 2305.10725, arXiv.org.
- Brian Ning & Sebastian Jaimungal & Xiaorong Zhang & Maxime Bergeron, 2021. "Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders," Papers 2108.04941, arXiv.org, revised Jan 2022.
- López-García, M.N. & Trinidad-Segovia, J.E. & Sánchez-Granero, M.A. & Pouchkarev, I., 2021. "Extending the Fama and French model with a long term memory factor," European Journal of Operational Research, Elsevier, vol. 291(2), pages 421-426.
- Shantanu Awasthi & Indranil SenGupta, 2020. "First exit-time analysis for an approximate Barndorff-Nielsen and Shephard model with stationary self-decomposable variance process," Papers 2006.07167, arXiv.org, revised Jan 2021.
- Federica De Domenico & Giacomo Livan & Guido Montagna & Oreste Nicrosini, 2023. "Modeling and Simulation of Financial Returns under Non-Gaussian Distributions," Papers 2302.02769, arXiv.org.
- Aljethi, Reem Abdullah & Kılıçman, Adem, 2023. "Analysis of fractional differential equation and its application to realistic data," Chaos, Solitons & Fractals, Elsevier, vol. 171(C).
- Svetlana Boyarchenko & Sergei Levendorskii, 2005. "Discount factors ex post and ex ante, and discounted utility anomalies," Microeconomics 0510013, University Library of Munich, Germany, revised 13 Dec 2005.
- Svetlana Boyarchenko & Sergei Levendorskii, 2023. "Efficient evaluation of joint pdf of a L\'evy process, its extremum, and hitting time of the extremum," Papers 2312.05222, arXiv.org.
- Young Shin Kim, 2022. "Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model," Annals of Operations Research, Springer, vol. 312(2), pages 853-881, May.
- Svetlana Boyarchenko & Sergei Levendorskiä¬ & J. Lars Kyrkby & Zhenyu Cui, 2021.
"Sinh-Acceleration For B-Spline Projection With Option Pricing Applications,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 24(08), pages 1-50, December.
Chapters
- Svetlana I. Boyarchenko & Sergei Z. Levendorskiĭ, 2002.
"Barrier options,"
World Scientific Book Chapters, in: Non-Gaussian Merton-Black-Scholes Theory, chapter 8, pages 185-198,
World Scientific Publishing Co. Pte. Ltd..
Cited by:
- Sergei Levendorskii, 2002. "Pseudo-diffusions and Quadratic term structure models," Papers cond-mat/0212249, arXiv.org, revised Apr 2004.
- Ernst Eberlein & Kathrin Glau & Antonis Papapantoleon, 2009. "Analyticity of the Wiener-Hopf factors and valuation of exotic options in L\'evy models," Papers 0911.0373, arXiv.org, revised Oct 2010.
- N. Reich & C. Schwab & C. Winter, 2010. "On Kolmogorov equations for anisotropic multivariate Lévy processes," Finance and Stochastics, Springer, vol. 14(4), pages 527-567, December.
- Jos'e E. Figueroa-L'opez & Peter Tankov, 2012. "Small-time asymptotics of stopped L\'evy bridges and simulation schemes with controlled bias," Papers 1203.2355, arXiv.org, revised Jul 2014.
- Belomestny, Denis, 2009. "Spectral estimation of the fractional order of a Lévy process," SFB 649 Discussion Papers 2009-021, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Svetlana I. Boyarchenko & Sergei Z. Levendorskiĭ, 2002.
"Lévy processes,"
World Scientific Book Chapters, in: Non-Gaussian Merton-Black-Scholes Theory, chapter 2, pages 39-66,
World Scientific Publishing Co. Pte. Ltd..
Cited by:
- Svetlana Boyarchenko & Sergei Levendorskii, 2005.
"American options: the EPV pricing model,"
Annals of Finance, Springer, vol. 1(3), pages 267-292, August.
- Svetlana Boyarchenko & Sergei Levendorskii, 2004. "American options: the EPV pricing model," Finance 0405024, University Library of Munich, Germany.
- Kim, Young Shin & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Mitov, Ivan & Fabozzi, Frank J., 2011.
"Time series analysis for financial market meltdowns,"
Journal of Banking & Finance, Elsevier, vol. 35(8), pages 1879-1891, August.
- Young Shin Kim & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Mitov, Ivan & Fabozzi, Frank J., 2010. "Time series analysis for financial market meltdowns," Working Paper Series in Economics 2, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Borak, Szymon & Misiorek, Adam & Weron, Rafal, 2010.
"Models for Heavy-tailed Asset Returns,"
MPRA Paper
25494, University Library of Munich, Germany.
- Szymon Borak & Adam Misiorek & Rafal Weron, 2010. "Models for Heavy-tailed Asset Returns," HSC Research Reports HSC/10/01, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
- Borak, Szymon & Misiorek, Adam & Weron, Rafał, 2010. "Models for heavy-tailed asset returns," SFB 649 Discussion Papers 2010-049, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Chen, Yu-Fu & Funke, Michael, 2010.
"Global Warming And Extreme Events: Rethinking The Timing And Intensity Of Environmental Policy,"
SIRE Discussion Papers
2010-48, Scottish Institute for Research in Economics (SIRE).
- Michael Funke & Yu-Fu Chen & Aaron Mehrota, 2011. "Global warming and extreme events: Rethinking the timing and intensity of environment policy," Quantitative Macroeconomics Working Papers 21105, Hamburg University, Department of Economics.
- Yu-Fu Chen & Michael Funke, 2010. "Global Warming and Extreme Events: Rethinking the Timing and Intensity of Environmental Policy," CESifo Working Paper Series 3139, CESifo.
- Michael Funke & Yu-Fu Chen, 2010. "Global warming and extreme events: Rethinking the timing and intensity of environment policy," Quantitative Macroeconomics Working Papers 21007b, Hamburg University, Department of Economics.
- Yu-Fu Chen & Michael Funke, 2010. "Global Warming And Extreme Events: Rethinking The Timing And Intensity Of Environmental Policy," Dundee Discussion Papers in Economics 236, Economic Studies, University of Dundee.
- Sergei Levendorskii, 2002. "Pseudo-diffusions and Quadratic term structure models," Papers cond-mat/0212249, arXiv.org, revised Apr 2004.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2012.
"Basics of Levy processes,"
Economics Papers
2012-W06, Economics Group, Nuffield College, University of Oxford.
- Neil Shephard & Ole E. Barndorff-Nielsen, 2012. "Basics of Levy processes," Economics Series Working Papers 610, University of Oxford, Department of Economics.
- Adam Misiorek & Rafal Weron, 2010. "Heavy-tailed distributions in VaR calculations," HSC Research Reports HSC/10/05, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
- Oleg Kudryavtsev & Sergei Levendorskiǐ, 2009. "Fast and accurate pricing of barrier options under Lévy processes," Finance and Stochastics, Springer, vol. 13(4), pages 531-562, September.
- Luis Alvarez & Teppo Rakkolainen, 2010. "Investment timing in presence of downside risk: a certainty equivalent characterization," Annals of Finance, Springer, vol. 6(3), pages 317-333, July.
- Weron, Rafał, 2004. "Computationally intensive Value at Risk calculations," Papers 2004,32, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
- Flavia Barsotti, 2012. "Optimal Capital Structure with Endogenous Default and Volatility Risk," Working Papers - Mathematical Economics 2012-02, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Svetlana Boyarchenko & Sergei Levendorskii, 2005.
"American options: the EPV pricing model,"
Annals of Finance, Springer, vol. 1(3), pages 267-292, August.
- Svetlana I. Boyarchenko & Sergei Z. Levendorskiĭ, 2002.
"Perpetual American options,"
World Scientific Book Chapters, in: Non-Gaussian Merton-Black-Scholes Theory, chapter 5, pages 121-149,
World Scientific Publishing Co. Pte. Ltd..
Cited by:
- Yu-Ting Chen & Cheng-Few Lee & Yuan-Chung Sheu, 2007.
"An ODE approach for the expected discounted penalty at ruin in a jump-diffusion model,"
Finance and Stochastics, Springer, vol. 11(3), pages 323-355, July.
- Yu-Ting Chen & Cheng Few Lee & Yuan-Chung Sheu, 2020. "An ODE Approach for the Expected Discounted Penalty at Ruin in a Jump-Diffusion Model," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 41, pages 1561-1598, World Scientific Publishing Co. Pte. Ltd..
- Sergei Levendorskii, 2002. "Pseudo-diffusions and Quadratic term structure models," Papers cond-mat/0212249, arXiv.org, revised Apr 2004.
- Svetlana Boyarchenko & Sergei Levendorskii, 2005.
"Practical guide to real options in discrete time II,"
Finance
0501014, University Library of Munich, Germany.
- Svetlana Boyarchenko & Sergei Levendorski&icaron;, 2007. "Practical Guide To Real Options In Discrete Time," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 48(1), pages 311-342, February.
- Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Practical guide to real options in discrete time," Papers cond-mat/0404106, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Practical guide to real options in discrete time," Finance 0405016, University Library of Munich, Germany.
- Sergey Levendorskiy & Svetlana Boyarchenko, 2004. "Practical guide to real options in discrete time," Computing in Economics and Finance 2004 137, Society for Computational Economics.
- Luis Alvarez & Teppo Rakkolainen, 2010. "Investment timing in presence of downside risk: a certainty equivalent characterization," Annals of Finance, Springer, vol. 6(3), pages 317-333, July.
- Yu-Ting Chen & Cheng-Few Lee & Yuan-Chung Sheu, 2007.
"An ODE approach for the expected discounted penalty at ruin in a jump-diffusion model,"
Finance and Stochastics, Springer, vol. 11(3), pages 323-355, July.
Books
- Svetlana Boyarchenko & Sergei Levendorskii, 2007.
"Irreversible Decisions under Uncertainty,"
Studies in Economic Theory,
Springer, number 978-3-540-73746-9, January.
Cited by:
- Mohammad Hossein Dehghani, 2014. "Strategic Technology Adoption under Technological Uncertainty," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 18(1), pages 1-31, Winter.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022. "Efficient inverse $Z$-transform and pricing barrier and lookback options with discrete monitoring," Papers 2207.02858, arXiv.org, revised Jul 2022.
- Livdan, Dmitry & Nezlobin, Alexander, 2022. "Incentivizing irreversible investment," LSE Research Online Documents on Economics 110531, London School of Economics and Political Science, LSE Library.
- Relativo, Jona Princess & Sumayang, Mildred & Diasana, Sarah Jean & Murcia, John Vianne, 2016. "Capital Investment Decisions of Micro, Small and Medium Enterprises: The Case of Digos City," MPRA Paper 79574, University Library of Munich, Germany, revised 07 Jun 2017.
- Abbring, J.H., 2009. "Mixed Hitting-Time Models," Other publications TiSEM 6c745572-a041-4990-a767-6, Tilburg University, School of Economics and Management.
- Jaap H. Abbring, 0000. "Mixed Hitting-Time Models," Tinbergen Institute Discussion Papers 07-057/3, Tinbergen Institute, revised 11 Aug 2009.
- Hainaut, Donatien, 2015. "Evaluation and default time for companies with uncertain cash flows," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 276-285.
- GAHUNGU, Joachim & SMEERS, Yves, 2011. "Sufficient and necessary conditions for perpetual multi-assets exchange options," LIDAM Discussion Papers CORE 2011035, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Hainaut, Donatien & Deelstra, Griselda, 2014. "Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality," Journal of Economic Dynamics and Control, Elsevier, vol. 44(C), pages 124-146.
- Briest, Gordon & Lauven, Lars-Peter & Kupfer, Stefan & Lukas, Elmar, 2022. "Leaving well-worn paths: Reversal of the investment-uncertainty relationship and flexible biogas plant operation," European Journal of Operational Research, Elsevier, vol. 300(3), pages 1162-1176.
- Lee, Sangjun & Zhao, Jinhua, 2021. "Adaptation to climate change: Extreme events versus gradual changes," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
- Mike G. Tsionas & Pankaj C. Patel, 2022. "An entrepreneur's dilemma: An optimal stopping rule in pivoting," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 43(8), pages 3498-3515, December.
- Moreno Othón M., 2014. "Consumption of Durable Goods under Ambiguity," Working Papers 2014-02, Banco de México.
- Boyarchenko, Svetlana & Levendorskii, Sergei, 2010. "Optimal stopping in Levy models, for non-monotone discontinuous payoffs," MPRA Paper 27999, University Library of Munich, Germany.
- Svetlana I Boyarchenko & Sergei Z Levendorskii, 2002.
"Non-Gaussian Merton-Black-Scholes Theory,"
World Scientific Books,
World Scientific Publishing Co. Pte. Ltd., number 4955, December.
Cited by:
- Svetlana Boyarchenko & Sergei Levendorskiä¬ & J. Lars Kyrkby & Zhenyu Cui, 2021.
"Sinh-Acceleration For B-Spline Projection With Option Pricing Applications,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 24(08), pages 1-50, December.
- Svetlana Boyarchenko & Sergei Levendorskiu{i} & J. Lars Kirkby & Zhenyu Cui, 2021. "SINH-acceleration for B-spline projection with Option Pricing Applications," Papers 2109.08738, arXiv.org.
- Marc Jeannin & Martijn Pistorius, 2010. "Pricing And Hedging Barrier Options In A Hyper-Exponential Additive Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 13(05), pages 657-681.
- Svetlana Boyarchenko & Sergei Levendorskii, 2019.
"Static and semi-static hedging as contrarian or conformist bets,"
Papers
1902.02854, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskiĭ, 2020. "Static and semistatic hedging as contrarian or conformist bets," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 921-960, July.
- Xu Guo & Yutian Li, 2016. "Valuation of American options under the CGMY model," Quantitative Finance, Taylor & Francis Journals, vol. 16(10), pages 1529-1539, October.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022. "Efficient evaluation of expectations of functions of a stable L\'evy process and its extremum," Papers 2209.12349, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskii, 2023. "Simulation of a L\'evy process, its extremum, and hitting time of the extremum via characteristic functions," Papers 2312.03929, arXiv.org.
- Lord, Roger & Fang, Fang & Bervoets, Frank & Oosterlee, Kees, 2007. "A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes," MPRA Paper 1952, University Library of Munich, Germany.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022. "Efficient inverse $Z$-transform and pricing barrier and lookback options with discrete monitoring," Papers 2207.02858, arXiv.org, revised Jul 2022.
- Svetlana Boyarchenko & Sergei Levendorskiĭ, 2013. "Efficient Laplace Inversion, Wiener-Hopf Factorization And Pricing Lookbacks," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(03), pages 1-40.
- Roberto Casarin & Fabrizio Leisen & German Molina & Enrique Ter Horst, 2014.
"A Bayesian Beta Markov Random Field calibration of the term structure of implied risk neutral densities,"
Working Papers
2014:22, Department of Economics, University of Venice "Ca' Foscari".
- Roberto Casarin & Fabrizio Leisen & German Molina & Enrique ter Horst, 2014. "A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities," Papers 1409.1956, arXiv.org.
- Sergei Levendorskiǐ, 2005. "Pseudodiffusions And Quadratic Term Structure Models," Mathematical Finance, Wiley Blackwell, vol. 15(3), pages 393-424, July.
- Mitya Boyarchenko & Sergei Levendorskiĭ, 2015. "Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided L�vy models: the parabolic Laplace inversion method," Quantitative Finance, Taylor & Francis Journals, vol. 15(3), pages 421-441, March.
- Christian Walter & Olivier Le Courtois, 2016. "Lévy Processes and Extreme Value Theory," Post-Print hal-04561146, HAL.
- Andrey Itkin & Peter Carr, 2010.
"Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models,"
Papers
1002.1995, arXiv.org.
- Andrey Itkin & Peter Carr, 2012. "Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models," Computational Economics, Springer;Society for Computational Economics, vol. 40(1), pages 63-104, June.
- N. Hilber & N. Reich & C. Schwab & C. Winter, 2009. "Numerical methods for Lévy processes," Finance and Stochastics, Springer, vol. 13(4), pages 471-500, September.
- Jos'e E. Figueroa-L'opez & Ruoting Gong & Christian Houdr'e, 2011. "High-order short-time expansions for ATM option prices under the CGMY model," Papers 1112.3111, arXiv.org, revised Aug 2012.
- Alexander Novikov & Albert Shiryaev, 2004. "On an Effective Solution of the Optimal Stopping Problem for Random Walks," Research Paper Series 131, Quantitative Finance Research Centre, University of Technology, Sydney.
- Cui, Zhenyu & Kirkby, J. Lars & Nguyen, Duy, 2021. "A data-driven framework for consistent financial valuation and risk measurement," European Journal of Operational Research, Elsevier, vol. 289(1), pages 381-398.
- Kirkby, J. Lars & Nguyen, Duy, 2021. "Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 408-428.
- Svetlana Boyarchenko & Sergei Levendorskii, 2023. "Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in L\'evy models," Papers 2312.03915, arXiv.org.
- Alexander Kushpel, 2014. "Pricing of basket options I," Papers 1401.1856, arXiv.org.
- Miquel Montero, 2007.
"Renewal equations for option pricing,"
Papers
0711.2624, arXiv.org, revised Jun 2008.
- M. Montero, 2008. "Renewal equations for option pricing," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 65(2), pages 295-306, September.
- Svetlana Boyarchenko & Sergei Levendorskii, 2005.
"Practical guide to real options in discrete time II,"
Finance
0501014, University Library of Munich, Germany.
- Svetlana Boyarchenko & Sergei Levendorski&icaron;, 2007. "Practical Guide To Real Options In Discrete Time," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 48(1), pages 311-342, February.
- Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Practical guide to real options in discrete time," Papers cond-mat/0404106, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Practical guide to real options in discrete time," Finance 0405016, University Library of Munich, Germany.
- Sergey Levendorskiy & Svetlana Boyarchenko, 2004. "Practical guide to real options in discrete time," Computing in Economics and Finance 2004 137, Society for Computational Economics.
- Akihiko Takahashi & Akira Yamazaki, 2007. "Efficient Static Replication of European Options for Exponential Levy Models (Revised in January 2008, Published in "Journal of Futures Markets", Vol.29-1, 1-15, 2009. )," CARF F-Series CARF-F-105, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Semere Habtemicael & Indranil SenGupta, 2016. "Pricing variance and volatility swaps for Barndorff-Nielsen and Shephard process driven financial markets," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(04), pages 1-35, December.
- JosE Fajardo & Ernesto Mordecki, 2006. "Symmetry and duality in Levy markets," Quantitative Finance, Taylor & Francis Journals, vol. 6(3), pages 219-227.
- Ernst Eberlein & Kathrin Glau & Antonis Papapantoleon, 2009. "Analyticity of the Wiener-Hopf factors and valuation of exotic options in L\'evy models," Papers 0911.0373, arXiv.org, revised Oct 2010.
- Semere Habtemicael & Indranil Sengupta, 2016. "Pricing Covariance Swaps For Barndorff–Nielsen And Shephard Process Driven Financial Markets," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(03), pages 1-32, September.
- Aase, Knut K, 2005.
"The perpetual American put option for jump-diffusions with applications,"
University of California at Los Angeles, Anderson Graduate School of Management
qt31g898nz, Anderson Graduate School of Management, UCLA.
- Aase, Knut K., 2005. "The perpetual American put option for jump-diffusions with applications," Discussion Papers 2005/12, Norwegian School of Economics, Department of Business and Management Science.
- Rossella Agliardi & Ramazan Gençay, 2012. "Hedging through a Limit Order Book with Varying Liquidity," Working Paper series 12_12, Rimini Centre for Economic Analysis.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022. "L\'evy models amenable to efficient calculations," Papers 2207.02359, arXiv.org.
- Nina Boyarchenko & Sergei Levendorskiǐ, 2007. "The Eigenfunction Expansion Method In Multi‐Factor Quadratic Term Structure Models," Mathematical Finance, Wiley Blackwell, vol. 17(4), pages 503-539, October.
- Mitya Boyarchenko & Marco De Innocentis & Sergei Levendorskiĭ, 2011. "Prices Of Barrier And First-Touch Digital Options In Lévy-Driven Models, Near Barrier," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(07), pages 1045-1090.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2012.
"Basics of Levy processes,"
Economics Papers
2012-W06, Economics Group, Nuffield College, University of Oxford.
- Neil Shephard & Ole E. Barndorff-Nielsen, 2012. "Basics of Levy processes," Economics Series Working Papers 610, University of Oxford, Department of Economics.
- A. H. Nzokem, 2022. "Pricing European Options under Stochastic Volatility Models: Case of five-Parameter Variance-Gamma Process," Papers 2201.03378, arXiv.org, revised Jan 2023.
- Damien Lamberton & Mohammed Mikou, 2008. "The critical price for the American put in an exponential Lévy model," Finance and Stochastics, Springer, vol. 12(4), pages 561-581, October.
- Jérémy Poirot & Peter Tankov, 2006. "Monte Carlo Option Pricing for Tempered Stable (CGMY) Processes," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(4), pages 327-344, December.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022. "Efficient evaluation of double-barrier options and joint cpdf of a L\'evy process and its two extrema," Papers 2211.07765, arXiv.org.
- Lee, Sangjun & Zhao, Jinhua, 2021. "Adaptation to climate change: Extreme events versus gradual changes," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
- Svetlana Boyarchenko & Sergei Levendorskiĭ, 2019.
"Sinh-Acceleration: Efficient Evaluation Of Probability Distributions, Option Pricing, And Monte Carlo Simulations,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(03), pages 1-49, May.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2018. "SINH-acceleration: efficient evaluation of probability distributions, option pricing, and Monte-Carlo simulations," Papers 1808.05295, arXiv.org.
- John Crosby & Nolwenn Le Saux & Aleksandar Mijatović, 2010. "Approximating Lévy Processes With A View To Option Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 13(01), pages 63-91.
- Svetlana Boyarchenko & Sergei Levendorskii, 2004.
"Real options and the universal bad news principle,"
Levine's Bibliography
122247000000000430, UCLA Department of Economics.
- Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Real options and the universal bad news principle," Finance 0405011, University Library of Munich, Germany.
- Zhang, H. & Liu, F. & Chen, S. & Anh, V. & Chen, J., 2018. "Fast numerical simulation of a new time-space fractional option pricing model governing European call option," Applied Mathematics and Computation, Elsevier, vol. 339(C), pages 186-198.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2019. "Gauge transformations in the dual space, and pricing and estimation in the long run in affine jump-diffusion models," Papers 1912.06948, arXiv.org, revised Dec 2019.
- Liming Feng & Vadim Linetsky, 2008. "Pricing Discretely Monitored Barrier Options And Defaultable Bonds In Lévy Process Models: A Fast Hilbert Transform Approach," Mathematical Finance, Wiley Blackwell, vol. 18(3), pages 337-384, July.
- Markus LEIPPOLD & Nikola VASILJEVIC, 2015.
"Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model,"
Swiss Finance Institute Research Paper Series
15-08, Swiss Finance Institute, revised Mar 2015.
- Leippold, Markus & Vasiljević, Nikola, 2017. "Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 78-94.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2023. "Efficient inverse $Z$-transform: sufficient conditions," Papers 2305.10725, arXiv.org.
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