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Svetlana Boyarchenko

Personal Details

First Name:Svetlana
Middle Name:
Last Name:Boyarchenko
Suffix:
RePEc Short-ID:pbo123
[This author has chosen not to make the email address public]
Terminal Degree:2001 Department of Economics; University of Pennsylvania (from RePEc Genealogy)

Affiliation

Department of Economics
University of Texas-Austin

Austin, Texas (United States)
http://www.utexas.edu/cola/depts/economics/
RePEc:edi:deutxus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters Books

Working papers

  1. 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.
  2. Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2023. "Efficient inverse $Z$-transform: sufficient conditions," Papers 2305.10725, arXiv.org.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2022. "L\'evy models amenable to efficient calculations," Papers 2207.02359, arXiv.org.
  10. 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.
  11. 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.
  12. Svetlana Boyarchenko & Sergei Levendorskii, 2019. "Static and semi-static hedging as contrarian or conformist bets," Papers 1902.02854, arXiv.org.
  13. Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2018. "SINH-acceleration: efficient evaluation of probability distributions, option pricing, and Monte-Carlo simulations," Papers 1808.05295, arXiv.org.
  14. Svetlana Boyarchenko & Sergei Levendorskii, 2014. "Ambiguous Jump-Diffusions and Optimal Stopping," Department of Economics Working Papers 141031, The University of Texas at Austin, Department of Economics.
  15. 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.
  16. Boyarchenko, Svetlana & Levendorskii, Sergei, 2010. "Discounting when income is stochastic and climate change policies," MPRA Paper 27998, University Library of Munich, Germany.
  17. Boyarchenko, Svetlana & Levendorskii, Sergei, 2010. "Optimal stopping in Levy models, for non-monotone discontinuous payoffs," MPRA Paper 27999, University Library of Munich, Germany.
  18. 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.
  19. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "A theory of endogenous time preference, and discounted utility anomalies," Microeconomics 0506005, University Library of Munich, Germany.
  20. 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.
  21. 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.
  22. Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Practical guide to real options in discrete time," Papers cond-mat/0404106, arXiv.org.
  23. Svetlana Boyarchenko & Sergey Levendorskiy, 2004. "Optimal stopping made easy," Finance 0410016, University Library of Munich, Germany.
  24. Svetlana Boyarchenko & Sergei Levendorskii, 2004. "American options: the EPV pricing model," Finance 0405024, University Library of Munich, Germany.
  25. Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Universal bad news principle and pricing of options on dividend-paying assets," Papers cond-mat/0404108, arXiv.org.
  26. Svetlana Boyarchenko, 2004. "Search, layoffs and reservation wages when job offers follow a stochastic process," Macroeconomics 0409014, University Library of Munich, Germany.
  27. Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Inside and Outside Money, with an Application to the Russian Virtual Economy," Macroeconomics 0405009, University Library of Munich, Germany.
  28. Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Real options and the universal bad news principle," Levine's Bibliography 122247000000000430, UCLA Department of Economics.
  29. 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.
  30. Svetlana Boyarchenko, 2001. "Arrow's Equivalency Theorem in a Model with Neoclassical Firms," Penn CARESS Working Papers 19898b45c40f0986f4bd94f12, Penn Economics Department.
  31. Svetlana Boyarchenko, 2001. "Capital Accumulation under Non-Gaussian Processes and the Marshallian Law," Penn CARESS Working Papers 471ab9dee66c9aa1d3ef23dd9, Penn Economics Department.
  32. Boyarchenko Svetlana & Levendorsky Sergey, 2001. "Money Substitutes in the Russian Virtual Economy: Sources and Impact on the Economy," EERC Working Paper Series 2k/08e, EERC Research Network, Russia and CIS.
  33. 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.
  34. 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.

Articles

  1. 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.
  2. Boyarchenko, Svetlana, 2021. "Inefficiency of sponsored research," Journal of Mathematical Economics, Elsevier, vol. 95(C).
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. Boyarchenko, Svetlana & Levendorskiĭ, Sergei, 2014. "Preemption games under Lévy uncertainty," Games and Economic Behavior, Elsevier, vol. 88(C), pages 354-380.
  9. 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.
  10. 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.
  11. 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.
  12. Boyarchenko, Svetlana & Levendorskii, Sergei, 2008. "Exit problems in regime-switching models," Journal of Mathematical Economics, Elsevier, vol. 44(2), pages 180-206, January.
  13. Boyarchenko, Svetlana & Levendorskii[caron], Sergei, 2007. "Optimal stopping made easy," Journal of Mathematical Economics, Elsevier, vol. 43(2), pages 201-217, February.
  14. 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.
  15. 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 1-51, June.
  16. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "American options: the EPV pricing model," Annals of Finance, Springer, vol. 1(3), pages 267-292, August.
  17. Svetlana Boyarchenko, 2004. "Irreversible Decisions and Record-Setting News Principles," American Economic Review, American Economic Association, vol. 94(3), pages 557-568, June.
  18. 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.
  19. S. I. Boyarchenko & S. Z. Levendorskii, 2002. "Pricing of perpetual Bermudan options," Quantitative Finance, Taylor & Francis Journals, vol. 2(6), pages 432-442.
  20. 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.

Chapters

  1. Svetlana I. Boyarchenko & Sergei Z. Levendorskiĭ, 2002. "Endogenous default and pricing of the corporate debt," World Scientific Book Chapters, in: Non-Gaussian Merton-Black-Scholes Theory, chapter 11, pages 231-253, World Scientific Publishing Co. Pte. Ltd..
  2. Svetlana I. Boyarchenko & Sergei Z. Levendorskiĭ, 2002. "Multi-asset contracts," World Scientific Book Chapters, in: Non-Gaussian Merton-Black-Scholes Theory, chapter 9, pages 199-219, World Scientific Publishing Co. Pte. Ltd..
  3. 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..
  4. Svetlana I. Boyarchenko & Sergei Z. Levendorskiĭ, 2002. "Elements of calculus of pseudodifferential operators," World Scientific Book Chapters, in: Non-Gaussian Merton-Black-Scholes Theory, chapter 16, pages 365-383, World Scientific Publishing Co. Pte. Ltd..
  5. Svetlana I. Boyarchenko & Sergei Z. Levendorskiĭ, 2002. "Discrete time models," World Scientific Book Chapters, in: Non-Gaussian Merton-Black-Scholes Theory, chapter 13, pages 267-280, World Scientific Publishing Co. Pte. Ltd..
  6. Svetlana I. Boyarchenko & Sergei Z. Levendorskiĭ, 2002. "Feller processes of normal inverse Gaussian type," World Scientific Book Chapters, in: Non-Gaussian Merton-Black-Scholes Theory, chapter 14, pages 281-294, World Scientific Publishing Co. Pte. Ltd..
  7. Svetlana I. Boyarchenko & Sergei Z. Levendorskiĭ, 2002. "First-touch digitals," World Scientific Book Chapters, in: Non-Gaussian Merton-Black-Scholes Theory, chapter 7, pages 165-183, World Scientific Publishing Co. Pte. Ltd..
  8. 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..
  9. Svetlana I. Boyarchenko & Sergei Z. Levendorskiĭ, 2002. "Investment under uncertainty and capital accumulation," World Scientific Book Chapters, in: Non-Gaussian Merton-Black-Scholes Theory, chapter 10, pages 221-230, World Scientific Publishing Co. Pte. Ltd..
  10. Svetlana I. Boyarchenko & Sergei Z. Levendorskiĭ, 2002. "Pseudo-differential operators with constant symbols," World Scientific Book Chapters, in: Non-Gaussian Merton-Black-Scholes Theory, chapter 15, pages 295-364, World Scientific Publishing Co. Pte. Ltd..
  11. Svetlana I. Boyarchenko & Sergei Z. Levendorskiĭ, 2002. "Pricing and hedging of contingent claims of European type," World Scientific Book Chapters, in: Non-Gaussian Merton-Black-Scholes Theory, chapter 4, pages 97-120, World Scientific Publishing Co. Pte. Ltd..
  12. Svetlana I. Boyarchenko & Sergei Z. Levendorskiĭ, 2002. "Fast pricing of European options," World Scientific Book Chapters, in: Non-Gaussian Merton-Black-Scholes Theory, chapter 12, pages 255-266, World Scientific Publishing Co. Pte. Ltd..
  13. 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..
  14. Svetlana I. Boyarchenko & Sergei Z. Levendorskiĭ, 2002. "American options: finite time horizon," World Scientific Book Chapters, in: Non-Gaussian Merton-Black-Scholes Theory, chapter 6, pages 151-164, World Scientific Publishing Co. Pte. Ltd..
  15. Svetlana I. Boyarchenko & Sergei Z. Levendorskiĭ, 2002. "Introduction," World Scientific Book Chapters, in: Non-Gaussian Merton-Black-Scholes Theory, chapter 1, pages 1-37, World Scientific Publishing Co. Pte. Ltd..
  16. Svetlana I. Boyarchenko & Sergei Z. Levendorskiĭ, 2002. "Regular Lévy Processes of Exponential type in 1D," World Scientific Book Chapters, in: Non-Gaussian Merton-Black-Scholes Theory, chapter 3, pages 67-96, World Scientific Publishing Co. Pte. Ltd..

Books

  1. Svetlana Boyarchenko & Sergei Levendorskii, 2007. "Irreversible Decisions under Uncertainty," Studies in Economic Theory, Springer, number 978-3-540-73746-9, March.
  2. Svetlana I Boyarchenko & Sergei Z Levendorskii, 2002. "Non-Gaussian Merton-Black-Scholes Theory," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 4955, January.

More information

Research fields, statistics, top rankings, if available.

Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 15 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FIN: Finance (5) 2004-05-09 2004-05-26 2004-05-26 2005-06-19 2005-11-05. Author is listed
  2. NEP-CMP: Computational Economics (2) 2004-07-26 2024-01-22
  3. NEP-ORE: Operations Research (2) 2011-01-23 2014-12-13
  4. NEP-RMG: Risk Management (2) 2004-07-26 2019-02-18
  5. NEP-TRA: Transition Economics (2) 2003-04-27 2004-05-26
  6. NEP-CFN: Corporate Finance (1) 2004-05-09
  7. NEP-CIS: Confederation of Independent States (1) 2004-05-26
  8. NEP-COM: Industrial Competition (1) 2014-12-13
  9. NEP-CWA: Central and Western Asia (1) 2004-05-16
  10. NEP-DGE: Dynamic General Equilibrium (1) 2005-06-19
  11. NEP-EEC: European Economics (1) 2004-05-16
  12. NEP-ENE: Energy Economics (1) 2011-01-23
  13. NEP-ENV: Environmental Economics (1) 2011-01-23
  14. NEP-EVO: Evolutionary Economics (1) 2005-04-16
  15. NEP-GTH: Game Theory (1) 2014-12-13
  16. NEP-ISF: Islamic Finance (1) 2021-09-27
  17. NEP-MIC: Microeconomics (1) 2014-12-13
  18. NEP-MON: Monetary Economics (1) 2004-05-16

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