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Svetlana Boyarchenko

Personal Details

First Name:Svetlana
Middle Name:
Last Name:Boyarchenko
Suffix:
RePEc Short-ID:pbo123
Terminal Degree:2000 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/

: +1 (512) 471-3211
+1 (512) 471-3510
Austin, Texas 78712
RePEc:edi:deutxus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters Books

Working papers

  1. 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.
  2. 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.
  3. Boyarchenko, Svetlana & Levendorskii, Sergei, 2010. "Discounting when income is stochastic and climate change policies," MPRA Paper 27998, University Library of Munich, Germany.
  4. Boyarchenko, Svetlana & Levendorskii, Sergei, 2010. "Optimal stopping in Levy models, for non-monotone discontinuous payoffs," MPRA Paper 27999, University Library of Munich, Germany.
  5. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "Practical guide to real options in discrete time II," Finance 0501014, EconWPA.
  6. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "Discount factors ex post and ex ante, and discounted utility anomalies," Microeconomics 0510013, EconWPA, revised 13 Dec 2005.
  7. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "A theory of endogenous time preference, and discounted utility anomalies," Microeconomics 0506005, EconWPA.
  8. Svetlana Boyarchenko, 2005. "Buridan's Ass and a Menu of Options," Game Theory and Information 0501006, EconWPA, revised 13 Dec 2005.
  9. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "General option exercise rules, with applications to embedded options and monopolistic expansion," Finance 0511001, EconWPA.
  10. Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Real options and the universal bad news principle," Finance 0405011, EconWPA.
  11. Svetlana Boyarchenko, 2004. "Search, layoffs and reservation wages when job offers follow a stochastic process," Macroeconomics 0409014, EconWPA.
  12. Svetlana Boyarchenko & Sergei Levendorskii, 2004. "American options: the EPV pricing model," Finance 0405024, EconWPA.
  13. Svetlana Boyarchenko & Sergey Levendorskiy, 2004. "Optimal stopping made easy," Finance 0410016, EconWPA.
  14. Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Inside and Outside Money, with an Application to the Russian Virtual Economy," Macroeconomics 0405009, EconWPA.
  15. Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Practical guide to real options in discrete time," Finance 0405016, EconWPA.
  16. Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Universal bad news principle and pricing of options on dividend-paying assets," Papers cond-mat/0404108, arXiv.org.
  17. 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.
  18. Svetlana Boyarchenko, 2001. "Capital Accumulation under Non-Gaussian Processes and the Marshallian Law," Penn CARESS Working Papers 471ab9dee66c9aa1d3ef23dd9, Penn Economics Department.
  19. Svetlana Boyarchenko, 2001. "Arrow's Equivalency Theorem in a Model with Neoclassical Firms," Penn CARESS Working Papers 19898b45c40f0986f4bd94f12, Penn Economics Department.
  20. 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.
  21. 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.
  22. 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. Boyarchenko, Svetlana & Levendorskiĭ, Sergei, 2014. "Preemption games under Lévy uncertainty," Games and Economic Behavior, Elsevier, vol. 88(C), pages 354-380.
  2. 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.
  3. 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.
  4. 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.
  5. Boyarchenko, Svetlana & Levendorskii, Sergei, 2008. "Exit problems in regime-switching models," Journal of Mathematical Economics, Elsevier, vol. 44(2), pages 180-206, January.
  6. Boyarchenko, Svetlana & Levendorskii[caron], Sergei, 2007. "Optimal stopping made easy," Journal of Mathematical Economics, Elsevier, vol. 43(2), pages 201-217, February.
  7. 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.
  8. 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.
  9. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "American options: the EPV pricing model," Annals of Finance, Springer, vol. 1(3), pages 267-292, August.
  10. 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.
  11. Svetlana Boyarchenko, 2004. "Irreversible Decisions and Record-Setting News Principles," American Economic Review, American Economic Association, vol. 94(3), pages 557-568, June.
  12. S. I. Boyarchenko & S. Z. Levendorskii, 2002. "Pricing of perpetual Bermudan options," Quantitative Finance, Taylor & Francis Journals, vol. 2(6), pages 432-442.

Chapters

  1. 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..
  2. 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..
  3. 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..
  4. 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..
  5. 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..
  6. 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..
  7. 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..
  8. 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..
  9. 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..
  10. 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..
  11. 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..
  12. 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..
  13. 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..
  14. 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..
  15. 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..
  16. 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..

Books

  1. Svetlana I Boyarchenko & Sergei Z Levendorskii, 2002. "Non-Gaussian Merton-Black-Scholes Theory," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 4955.

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

  1. 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.

    Cited by:

    1. Bruno Versaevel, 2015. "Alertness, Leadership, and Nascent Market Dynamics," Dynamic Games and Applications, Springer, vol. 5(4), pages 440-466, December.
    2. Steg, Jan-Henrik, 2015. "Preemptive Investment under Uncertainty," Center for Mathematical Economics Working Papers 549, Center for Mathematical Economics, Bielefeld University.
    3. 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.
    4. Ruixuan Liu, 2016. "A Competing Risks Model with Time-varying Heterogeneity and Simultaneous Failure," Emory Economics 1603, Department of Economics, Emory University (Atlanta).
    5. 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.
    6. Jacco J.J. Thijssen, "undated". "Equilibria in Continuous Time Preemption Games with Markovian Payoffs," Discussion Papers 11/17, Department of Economics, University of York.

  2. 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:

    1. 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.
    2. Othón M. Moreno, 2014. "Consumption of Durable Goods under Ambiguity," Working Papers 2014-02, Banco de México.

  3. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "Discount factors ex post and ex ante, and discounted utility anomalies," Microeconomics 0510013, EconWPA, revised 13 Dec 2005.

    Cited by:

    1. Stefania Albanesi & Claudia Olivetti, 2006. "Gender roles and technological progress," 2006 Meeting Papers 411, Society for Economic Dynamics.
    2. 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.
    3. Jawwad Noor, 2007. "Hyperbolic Discounting and the Standard," Levine's Bibliography 321307000000000939, UCLA Department of Economics.
    4. Anke Gerbe & Kirsten I.M. Rohde, 2010. "Risk and Preference Reversals in Intertemporal Choice," Post-Print hal-00911832, HAL.

  4. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "A theory of endogenous time preference, and discounted utility anomalies," Microeconomics 0506005, EconWPA.

    Cited by:

    1. Gomes, Orlando, 2007. "Socially determined time preference in discrete time," MPRA Paper 3442, University Library of Munich, Germany.

  5. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "General option exercise rules, with applications to embedded options and monopolistic expansion," Finance 0511001, EconWPA.

    Cited by:

    1. Svetlana Boyarchenko & Sergey Levendorskiy, 2004. "Optimal stopping made easy," Finance 0410016, EconWPA.
    2. 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.
    3. Boyarchenko, Svetlana & Levendorskii, Sergei, 2008. "Exit problems in regime-switching models," Journal of Mathematical Economics, Elsevier, vol. 44(2), pages 180-206, January.
    4. 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.
    5. Frank Riedel & Xia Su, 2011. "On irreversible investment," Finance and Stochastics, Springer, vol. 15(4), pages 607-633, December.
    6. Boyarchenko, Svetlana & Levendorskii, Sergei, 2010. "Optimal stopping in Levy models, for non-monotone discontinuous payoffs," MPRA Paper 27999, University Library of Munich, Germany.
    7. Przemys{l}aw Repetowicz & Peter Richmond, 2006. "Option pricing with log-stable L\'{e}vy processes," Papers math/0612691, arXiv.org.
    8. Dehghani Mohammad H., 2014. "Policy Uncertainty and Technology Adoption," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 14(4), pages 1-26, October.

  6. Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Real options and the universal bad news principle," Finance 0405011, EconWPA.

    Cited by:

    1. Svetlana Boyarchenko & Sergey Levendorskiy, 2004. "Optimal stopping made easy," Finance 0410016, EconWPA.
    2. 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.

  7. Svetlana Boyarchenko & Sergei Levendorskii, 2004. "American options: the EPV pricing model," Finance 0405024, EconWPA.

    Cited by:

    1. Oscar Gutiérrez & Francisco Ruiz-Aliseda, 2011. "Real options with unknown-date events," Annals of Finance, Springer, vol. 7(2), pages 171-198, May.
    2. Svetlana Boyarchenko & Sergey Levendorskiy, 2004. "Optimal stopping made easy," Finance 0410016, EconWPA.
    3. 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.
    4. 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.
    5. 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.
    6. Boyarchenko, Svetlana & Levendorskii, Sergei, 2008. "Exit problems in regime-switching models," Journal of Mathematical Economics, Elsevier, vol. 44(2), pages 180-206, January.
    7. 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.
    8. 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.
    9. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "A theory of endogenous time preference, and discounted utility anomalies," Microeconomics 0506005, EconWPA.
    10. 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.
    11. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "Discount factors ex post and ex ante, and discounted utility anomalies," Microeconomics 0510013, EconWPA, revised 13 Dec 2005.
    12. Christian Flor & Simon Hansen, 2013. "Technological advances and the decision to invest," Annals of Finance, Springer, vol. 9(3), pages 383-420, August.
    13. Boyarchenko, Svetlana & Levendorskii, Sergei, 2010. "Optimal stopping in Levy models, for non-monotone discontinuous payoffs," MPRA Paper 27999, University Library of Munich, Germany.

  8. Svetlana Boyarchenko & Sergey Levendorskiy, 2004. "Optimal stopping made easy," Finance 0410016, EconWPA.

    Cited by:

    1. 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.
    2. Othón M. Moreno, 2014. "Consumption of Durable Goods under Ambiguity," Working Papers 2014-02, Banco de México.
    3. Jaap H. Abbring, 2012. "Mixed Hitting‐Time Models," Econometrica, Econometric Society, vol. 80(2), pages 783-819, March.
    4. GAHUNGU, Joachim & SMEERS, Yves, 2011. "Sufficient and necessary conditions for perpetual multi-assets exchange options," CORE Discussion Papers 2011035, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    5. 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.
    6. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "A theory of endogenous time preference, and discounted utility anomalies," Microeconomics 0506005, EconWPA.
    7. 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.
    8. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "Discount factors ex post and ex ante, and discounted utility anomalies," Microeconomics 0510013, EconWPA, revised 13 Dec 2005.
    9. 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.
    10. Boyarchenko, Svetlana & Levendorskii, Sergei, 2010. "Optimal stopping in Levy models, for non-monotone discontinuous payoffs," MPRA Paper 27999, University Library of Munich, Germany.
    11. Jaap H. Abbring, 2010. "Identification of Dynamic Discrete Choice Models," Annual Review of Economics, Annual Reviews, vol. 2(1), pages 367-394, September.
    12. 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.
    13. Dehghani Mohammad H., 2014. "Policy Uncertainty and Technology Adoption," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 14(4), pages 1-26, October.

  9. Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Inside and Outside Money, with an Application to the Russian Virtual Economy," Macroeconomics 0405009, EconWPA.

    Cited by:

    1. 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.

  10. Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Practical guide to real options in discrete time," Finance 0405016, EconWPA.

    Cited by:

    1. Svetlana Boyarchenko & Sergey Levendorskiy, 2004. "Optimal stopping made easy," Finance 0410016, EconWPA.
    2. 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.
    3. Boyarchenko, Svetlana & Levendorskii, Sergei, 2008. "Exit problems in regime-switching models," Journal of Mathematical Economics, Elsevier, vol. 44(2), pages 180-206, January.
    4. Detert, Neal & Kotani, Koji, 2013. "Real options approach to renewable energy investments in Mongolia," Energy Policy, Elsevier, vol. 56(C), pages 136-150.
    5. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "A theory of endogenous time preference, and discounted utility anomalies," Microeconomics 0506005, EconWPA.
    6. 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.
    7. 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.
    8. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "Discount factors ex post and ex ante, and discounted utility anomalies," Microeconomics 0510013, EconWPA, revised 13 Dec 2005.
    9. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "American options: the EPV pricing model," Annals of Finance, Springer, vol. 1(3), pages 267-292, August.
    10. 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.
    11. Boyarchenko, Svetlana & Levendorskii, Sergei, 2010. "Optimal stopping in Levy models, for non-monotone discontinuous payoffs," MPRA Paper 27999, University Library of Munich, Germany.

  11. 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:

    1. Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Real options and the universal bad news principle," Finance 0405011, EconWPA.
    2. 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.

  12. Svetlana Boyarchenko, 2001. "Capital Accumulation under Non-Gaussian Processes and the Marshallian Law," Penn CARESS Working Papers 471ab9dee66c9aa1d3ef23dd9, Penn Economics Department.

    Cited by:

    1. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "Practical guide to real options in discrete time II," Finance 0501014, EconWPA.

  13. Svetlana Boyarchenko, 2001. "Arrow's Equivalency Theorem in a Model with Neoclassical Firms," Penn CARESS Working Papers 19898b45c40f0986f4bd94f12, Penn Economics Department.

    Cited by:

    1. Bisin, Alberto; & Gottardi, Piero; & Ruta, Guido, 2014. "Equilibrium corporate finance and intermediation," Economics Working Papers ECO2014/09, European University Institute.

  14. 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:

    1. 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.
    2. Richard B. Goud Jr., 2002. "Inter-Firm Non-Monetary Transactions in Russia: A Literature Review," Development and Comp Systems 0207001, EconWPA.
    3. 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.
    4. 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.
    5. Vlad Ivanenko, 2001. "Effective Tax Rates in Transition," William Davidson Institute Working Papers Series 378, William Davidson Institute at the University of Michigan.
    6. Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Inside and Outside Money, with an Application to the Russian Virtual Economy," Macroeconomics 0405009, EconWPA.

  15. 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:

    1. Svetlana Boyarchenko, 2004. "Irreversible Decisions and Record-Setting News Principles," American Economic Review, American Economic Association, vol. 94(3), pages 557-568, June.

Articles

  1. 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.
  2. 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:

    1. 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.
    2. Andrey Itkin, 2015. "LSV models with stochastic interest rates and correlated jumps," Papers 1511.01460, arXiv.org, revised Nov 2016.
    3. L. C. G. Rogers, 2015. "Bermudan options by simulation," Papers 1508.06117, arXiv.org, revised Jan 2016.

  3. 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:

    1. 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.

  4. 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:

    1. Julia Eisenberg & Paul Kruhner, 2016. "The Impact of Negative Interest Rates on Optimal Capital Injections," Papers 1612.06654, arXiv.org.
    2. Zhengjun Jiang & Martijn Pistorius, 2008. "Optimal dividend distribution under Markov-regime switching," Papers 0812.4978, arXiv.org, revised Apr 2011.
    3. Zhengjun Jiang & Martijn Pistorius, 2012. "Optimal dividend distribution under Markov regime switching," Finance and Stochastics, Springer, vol. 16(3), pages 449-476, July.
    4. Boyarchenko, Svetlana & Levendorskii, Sergei, 2010. "Optimal stopping in Levy models, for non-monotone discontinuous payoffs," MPRA Paper 27999, University Library of Munich, Germany.
    5. Dehghani Mohammad H., 2014. "Policy Uncertainty and Technology Adoption," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 14(4), pages 1-26, October.

  5. 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.
  6. 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.
  7. 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.
    See citations under working paper version above.
  8. 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.
  9. 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.
  10. 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:

    1. 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.
    2. Svetlana Boyarchenko & Sergey Levendorskiy, 2004. "Optimal stopping made easy," Finance 0410016, EconWPA.
    3. Tarun Sabarwal, 2005. "The non-neutrality of debt in investment timing: a new NPV rule," Annals of Finance, Springer, vol. 1(4), pages 433-445, October.
    4. 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.
    5. 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.
    6. 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.
    7. Boyarchenko, Svetlana & Levendorskii, Sergei, 2008. "Exit problems in regime-switching models," Journal of Mathematical Economics, Elsevier, vol. 44(2), pages 180-206, January.
    8. 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.
    9. Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Real options and the universal bad news principle," Finance 0405011, EconWPA.
    10. 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.
    11. Frank Riedel & Xia Su, 2011. "On irreversible investment," Finance and Stochastics, Springer, vol. 15(4), pages 607-633, December.
    12. Svetlana Boyarchenko, 2005. "Buridan's Ass and a Menu of Options," Game Theory and Information 0501006, EconWPA, revised 13 Dec 2005.
    13. 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 and Osaka School of International Public Policy (OSIPP).
    14. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "A theory of endogenous time preference, and discounted utility anomalies," Microeconomics 0506005, EconWPA.
    15. Giorgio Ferrari & Paavo Salminen, 2014. "Irreversible Investment under L\'evy Uncertainty: an Equation for the Optimal Boundary," Papers 1411.2395, arXiv.org.
    16. 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.
    17. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "Discount factors ex post and ex ante, and discounted utility anomalies," Microeconomics 0510013, EconWPA, revised 13 Dec 2005.
    18. Clapp, John M. & Salavei, Katsiaryna, 2010. "Hedonic pricing with redevelopment options: A new approach to estimating depreciation effects," Journal of Urban Economics, Elsevier, vol. 67(3), pages 362-377, May.
    19. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "American options: the EPV pricing model," Annals of Finance, Springer, vol. 1(3), pages 267-292, August.
    20. Oscar Gutiérrez, 2005. "Real options and the Jorgensonian user cost of capital," Investigaciones Economicas, Fundación SEPI, vol. 29(3), pages 625-630, September.
    21. 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.
    22. Boyarchenko, Svetlana & Levendorskii, Sergei, 2010. "Optimal stopping in Levy models, for non-monotone discontinuous payoffs," MPRA Paper 27999, University Library of Munich, Germany.
    23. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "Practical guide to real options in discrete time II," Finance 0501014, EconWPA.
    24. 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.

  11. 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:

    1. Svetlana Boyarchenko & Sergey Levendorskiy, 2004. "Optimal stopping made easy," Finance 0410016, EconWPA.
    2. 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.
    3. 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.
    4. 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.
    5. 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.
    6. 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.
    7. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "Practical guide to real options in discrete time II," Finance 0501014, EconWPA.

Chapters

    Sorry, no citations of chapters recorded.

Books

  1. Svetlana I Boyarchenko & Sergei Z Levendorskii, 2002. "Non-Gaussian Merton-Black-Scholes Theory," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 4955.

    Cited by:

    1. 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.
    2. 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.
    3. 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.
    4. 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.
    5. 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.
    6. 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.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 17 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-ORE: Operations Research (2) 2011-01-23 2014-12-13
  3. NEP-TRA: Transition Economics (2) 2003-04-27 2004-05-26
  4. NEP-CFN: Corporate Finance (1) 2004-05-09
  5. NEP-CIS: Confederation of Independent States (1) 2004-05-26
  6. NEP-CMP: Computational Economics (1) 2004-07-26
  7. NEP-COM: Industrial Competition (1) 2014-12-13
  8. NEP-CWA: Central & Western Asia (1) 2004-05-16
  9. NEP-DGE: Dynamic General Equilibrium (1) 2005-06-19
  10. NEP-EEC: European Economics (1) 2004-05-16
  11. NEP-ENE: Energy Economics (1) 2011-01-23
  12. NEP-ENV: Environmental Economics (1) 2011-01-23
  13. NEP-EVO: Evolutionary Economics (1) 2005-04-16
  14. NEP-GTH: Game Theory (1) 2014-12-13
  15. NEP-MIC: Microeconomics (1) 2014-12-13
  16. NEP-MON: Monetary Economics (1) 2004-05-16
  17. NEP-RMG: Risk Management (1) 2004-07-26

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