S. Boyarchenko

发表

American Options in Lévy Models with Stochastic Interest Rates

S. Levendorskii, S. Boyarchenko, 2007 .

Non-Gaussian Merton-Black-Scholes theory

S. Levendorskii, S. Boyarchenko, 2002 .

Irreversible decisions and record-setting news principles

S. Boyarchenko, 2004 .

American Options in the Heston Model with Stochastic Interest Rate and Its Generalizations

S. Levendorskii, S. Boyarchenko, 2013 .

American Options in Levy Models With Stochastic Interest Rate of CIR-Type

S. Levendorskii, S. Boyarchenko, 2007 .

Barrier options and touch- and-out options under regular Lévy processes of exponential type

S. Levendorskii, S. Boyarchenko, 2002 .

Double Barrier Options in Regime-Switching Hyper-Exponential Jump-Diffusion Models

S. Boyarchenko, M. Boyarchenko, 2009 .

User's Guide to Pricing Double Barrier Options. Part I: Kou's Model and Generalizations

S. Boyarchenko, M. Boyarchenko, 2008 .

Efficient Pricing Barrier Options and CDS in Lévy Models with Stochastic Interest Rate

S. Levendorskii, S. Boyarchenko, 2015 .

Option Pricing and Hedging Under Regular Lévy Processes of Exponential Type

S. Levendorskii, S. Boyarchenko, 2001 .

Optimal Stopping Problems in Lévy Models with Random Observations

Svetlana Boyarchenko, S. Levendorskii, S. Boyarchenko, 2018, Acta Applicandae Mathematicae.

Exit Problems in Regime-Switching Models

S. Levendorskii, S. Boyarchenko, 2008 .

Perpetual American options under Levy processes

S. Levendorskii, S. Boyarchenko, S.I. Boyarchenko, 2002, Proceedings of the 41st IEEE Conference on Decision and Control, 2002..

EXIT GAME WITH INFORMATION EXTERNALITIES

S. Boyarchenko, 2016 .

STRATEGIC EXIT WITH RANDOM OBSERVATIONS

S. Boyarchenko, 2015 .

Conformal Accelerations Method and Efficient Evaluation of Stable Distributions

S. Levendorskii, S. Boyarchenko, 2020 .

Ambiguous Jump-Diffusions and Optimal Stopping

S. Levendorskii, S. Boyarchenko, 2014 .

DISCOUNTING WHEN INCOME IS STOCHASTIC AND CLIMATE CHANGE POLICIES

S. Levendorskii, S. Boyarchenko, 2010 .

Levy Models Amenable to Efficient Calculations

S. Boyarchenko, Sergei Levendorskiui, 2022, SSRN Electronic Journal.

Static and semistatic hedging as contrarian or conformist bets

S. Levendorskii, S. Boyarchenko, 2019, Mathematical Finance.

Sinh-Acceleration: Efficient Evaluation of Probability Distributions, Option Pricing, and Monte-Carlo Simulations

S. Levendorskii, S. Boyarchenko, 2018, International Journal of Theoretical and Applied Finance.

Sinh-Acceleration: Efficient Evaluation of Probability Distributions, Option Pricing, and Monte-Carlo Simulations

S. Levendorskii, S. Boyarchenko, 2018 .

New Efficient Versions of Fourier Transform Method in Applications to Option Pricing

S. Levendorskii, S. Boyarchenko, 2011 .

Conformal Accelerations Method and Efficient Evaluation of Stable Distributions

S. Levendorskii, S. Boyarchenko, 2018, Acta Applicandae Mathematicae.

New Families of Integral Representations and Efficient Evaluation of Stable Distributions

S. Levendorskii, S. Boyarchenko, 2018 .

Pricing American Options in Regime-Switching Models: FFT Realization

S. Levendorskii, S. Boyarchenko, 2008 .

Perpetual American Options in Regime-Switching Models

S. Levendorskii, S. Boyarchenko, 2006 .

Exit Problems in Regime-Switching Models

S. Levendorskii, S. Boyarchenko, 2006 .

Efficient evaluation of expectations of functions of a stable Lévy process and its extremum

S. Levendorskii, S. Boyarchenko, 2022, SSRN Electronic Journal.

Pricing of perpetual Bermudan options

S. Levendorskii, S. Boyarchenko, 2002 .

Spectral asymptotics with a remainder estimate of the Neumann Laplacian on horns: the case of the rapidly growing counting function

S. Levendorskii, S. Boyarchenko, 1998, Proceedings of the Royal Society of Edinburgh: Section A Mathematics.

Optimal Stopping Problems in Lévy Models with Random Observations

S. Levendorskii, S. Boyarchenko, 2018, Acta Applicandae Mathematicae.

Efficient inverse Z-transform and pricing barrier and lookback options with discrete monitoring

S. Levendorskii, S. Boyarchenko, 2022, SSRN Electronic Journal.

Conformal Accelerations Method and Efficient Evaluation of Stable Distributions

S. Levendorskii, S. Boyarchenko, 2020, Acta Applicandae Mathematicae.

Efficient Evaluation of Double-Barrier Options and Joint CPDF of a Levy Process and Its Two Extrema

S. Boyarchenko, Sergei Levendorskiui, 2022, SSRN Electronic Journal.

Efficient Evaluation of Expectations of Functions of a Lévy Process and Its Extremum

S. Boyarchenko, Sergei Levendorskiui, 2022, SSRN Electronic Journal.

SINH-Acceleration for B-Spline Projection with Option Pricing Applications

J. Lars Kirkby, Svetlana Boyarchenko, Sergei Levendorskii, 2021, SSRN Electronic Journal.

Gauge Transformations in the Dual Space, and Pricing and Estimation in the Long Run in Affine Jump-Diffusion Models

S. Levendorskii, S. Boyarchenko, 2019, SSRN Electronic Journal.

Efficient Variations of the Fourier Transform in Applications to Option Pricing

Svetlana Boyarchenko, Sergei Levendorskii, S. Levendorskii, 2014 .

Discounting When Income is Stochastic and Discounted Utility Anomalies

S. Levendorskii, S. Boyarchenko, 2010 .

Discount Factors Ex Post and Ex Ante, and Discounted Utility Anomalies II

S. Levendorskii, S. Boyarchenko, 2005 .

Discount Factors Ex Post and Ex Ante, and Discounted Utility Anomalies

S. Levendorskii, S. Boyarchenko, 2005 .

OPTION PRICING FOR TRUNCATED LÉVY PROCESSES

Svetlana Boyarchenko, S. Levendorskii, S. Boyarchenko, 2000 .

Perpetual American Options with Disconnected Exercise Regions in L évy Models

S. Levendorskii, S. Boyarchenko, 2014 .

Preemption Games Under Levy Uncertainty

Svetlana Boyarchenko, Sergei Levendorskii, S. Levendorskii, 2011, Games Econ. Behav..

Optimal Stopping in Levy Models, for Non-Monotone Discontinuous Payoffs

Svetlana Boyarchenko, Sergei Levendorskii, S. Levendorskii, 2010, SIAM J. Control. Optim..

Practical Guide to Real Options in Discrete Time Ii

S. Levendorskii, S. Boyarchenko, 2005 .

American options: the EPV pricing model

S. Levendorskii, S. Boyarchenko, 2005 .

Universal Bad News Principle and Pricing of Options on Dividend-Paying Assets

S. Levendorskii, S. Boyarchenko, 2004, cond-mat/0404108.

Perpetual Put-Like and Call-Like American Options Under Levy Processes, and Incremental Capital Expansion

S. Levendorskii, S. Boyarchenko, 2004 .

Practical Guide to Real Options in Discrete Time

Svetlana Boyarchenko, Sergei Levendorskii, S. Levendorskii, 2004, cond-mat/0404106.

PERPETUAL AMERICAN OPTIONS UNDER L

S. Boyarchenko, Evy Processes, 2002 .

A Theory of Endogenous Time Preference, and Discounted Utility Anomalies

S. Levendorskii, S. Boyarchenko, 2005 .

American Options in Levy Models with Stochastic Volatility

S. Levendorskii, S. Boyarchenko, 2008 .

American Options in the Heston Model With Stochastic Interest Rate

S. Levendorskii, S. Boyarchenko, 2007 .

American Options in Regime-Switching Models

Svetlana Boyarchenko, Sergei Levendorskii, S. Levendorskii, 2006, SIAM J. Control. Optim..

Efficient inverse $Z$-transform: sufficient conditions

S. Levendorskii, S. Boyarchenko, Sergei Levendorskiui, 2023, 2305.10725.

INVESTMENT AND FINANCIAL DECISIONS UNDER UNCERTAINTY AND EXOGENOUS BORROWING RATE

S. Levendorskii, S. Boyarchenko, 2003 .

Efficient Laplace Inversion, Wiener-Hopf Factorization and Pricing Lookbacks

S. Levendorskii, S. Boyarchenko, 2012 .

Inside and Outside Money, with an Application to the Russian Virtual Economy

S. Levendorskii, S. Boyarchenko, 2004 .

Search-Money-and-Barter Models of Financial Stabilization

S. Levendorskii, S. Boyarchenko, 2000 .

Economics Education and Research Consortium Working Paper Series a Threeesector Model of the Russian Virtual Economy a Threeesector Model of the Russian Virtual Economy

S. Levendorskii, S. Boyarchenko, S.L. Agapov, 2022 .

Capital Accumulation under Non-Gaussian Processes and the Marshallian Law

S. Boyarchenko, 2001 .

Firm Dynamics in a Competitive Industry

S. Boyarchenko, 2006 .

Industry Equilibrium with Random Exit or Default

S. Boyarchenko, Piin-huieh Chiang, 2006, Journal of Public Economic Theory.

Arrow's equivalency theorem in a model with neoclassical firms

S. Boyarchenko, 2004 .

Perpetual American Options Under L[e-acute]vy Processes

Svetlana Boyarchenko, Sergei Levendorskii, S. Levendorskii, 2001, SIAM J. Control. Optim..

Poisson Bandits of Evolving Shade of Gray

Svetlana Boyarchenko, Sergei Levendorskii, S. Levendorskii, 2015 .

Alternative Models for FX: Pricing Double Barrier Options in Regime-switching Lévy Models With Memory

S. Boyarchenko, Sergei Levendorskiui, 2024, Social Science Research Network.

Efficient evaluation of joint pdf of a L\'evy process, its extremum, and hitting time of the extremum

S. Levendorskii, S. Boyarchenko, 2023, Social Science Research Network.

Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in L\'evy models

S. Levendorskii, S. Boyarchenko, 2023, SSRN Electronic Journal.

Simulation of a L\'evy process, its extremum, and hitting time of the extremum via characteristic functions

S. Levendorskii, S. Boyarchenko, 2023, SSRN Electronic Journal.

EFFICIENT PRICING OF BARRIER OPTIONS AND CREDIT DEFAULT SWAPS IN LÉVY MODELS WITH STOCHASTIC INTEREST RATE

S. Levendorskii, S. Boyarchenko, 2017 .

Irreversible decisions under uncertainty

Svetlana Boyarchenko, Sergei Levendorskii, S. Levendorskii, 2007 .

Irreversible Decisions under Uncertainty: Optimal Stopping Made Easy

Svetlana Boyarchenko, S. Levendorskii, S. Boyarchenko, 2010 .

Efficient inverse Z-transform and Wiener-Hopf factorization

S. Levendorskii, S. Boyarchenko, 2024, SSRN Electronic Journal.

Precise spectral asymptotics for perturbed magnetic Schrödinger operator

S. Levendorskii, S. Boyarchenko, 1997 .

Inefficiency of sponsored research

S. Boyarchenko, 2021 .

Strategic Exit With Information and Payoff Externalities

S. Boyarchenko, 2019, SSRN Electronic Journal.

Strategic Experimentation with Erlang Bandits

Svetlana Boyarchenko, S. Boyarchenko, 2017 .