Sergei Levendorskii

14 papers C 1Journal 13

Year	Rank	Type	Title / Venue / Authors
2024	J	`jnl`	Efficient inverse CoRR Svetlana Boyarchenko, Sergei Levendorskii
2023	J	`jnl`	Efficient inverse Z-transform: sufficient conditions. CoRR Svetlana Boyarchenko, Sergei Levendorskii
2022	J	`jnl`	Efficient evaluation of expectations of functions of a stable Lévy process and its extremum. CoRR Svetlana Boyarchenko, Sergei Levendorskii
2022	J	`jnl`	Efficient inverse Z-transform and pricing barrier and lookback options with discrete monitoring. CoRR Svetlana Boyarchenko, Sergei Levendorskii
2021	J	`jnl`	SINH-acceleration for B-spline projection with Option Pricing Applications. CoRR Svetlana Boyarchenko, Sergei Levendorskii, Justin Lars Kirkby, Zhenyu Cui
2018	J	`jnl`	Pricing Arithmetic Asian Options Under Lévy Models by Backward Induction in the Dual Space. SIAM J. Financial Math. Sergei Levendorskii
2015	J	`jnl`	Efficient option pricing under Lévy processes, with CVA and FVA. Frontiers Appl. Math. Stat. Chun Kong Shek, Jimmy Law, Sergei Levendorskii
2014	J	`jnl`	Preemption games under Lévy uncertainty. Games Econ. Behav. Svetlana Boyarchenko, Sergei Levendorskii
2011	J	`jnl`	Convergence of Price and Sensitivities in Carr's Randomization Approximation Globally and Near Barrier. SIAM J. Financial Math. Sergei Levendorskii
2011	J	`jnl`	Optimal Stopping in Lévy Models for Nonmonotone Discontinuous Payoffs. SIAM J. Control. Optim. Svetlana Boyarchenko, Sergei Levendorskii
2009	J	`jnl`	American Options in Regime-Switching Models. SIAM J. Control. Optim. Svetlana Boyarchenko, Sergei Levendorskii
2009	J	`jnl`	Fast and accurate pricing of barrier options under Lévy processes. Finance Stochastics Oleg Kudryavtsev, Sergei Levendorskii
2008	J	`jnl`	American and European options in multi-factor jump-diffusion models, near expiry. Finance Stochastics Sergei Levendorskii
2008	C	`conf`	American options in regime-switching Lévy models with non-semibounded stochastic interest rates. ACC Svetlana Boyarchenko, Sergei Levendorskii