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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. 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.
  2. Boyarchenko, Svetlana & Levendorskiĭ, Sergei, 2014. "Preemption games under Lévy uncertainty," Games and Economic Behavior, Elsevier, vol. 88(C), pages 354-380.
  3. 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.
  4. 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.
  5. 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.
  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. Boyarchenko, Svetlana & Levendorskii[caron], Sergei, 2007. "Optimal stopping made easy," Journal of Mathematical Economics, Elsevier, vol. 43(2), pages 201-217, February.
  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. 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.
  10. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "American options: the EPV pricing model," Annals of Finance, Springer, vol. 1(3), pages 267-292, August.
  11. 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.
  12. Svetlana Boyarchenko, 2004. "Irreversible Decisions and Record-Setting News Principles," American Economic Review, American Economic Association, vol. 94(3), pages 557-568, June.
  13. S. I. Boyarchenko & S. Z. Levendorskii, 2002. "Pricing of perpetual Bermudan options," Quantitative Finance, Taylor & Francis Journals, vol. 2(6), pages 432-442.
  14. 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. "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 Boyarchenko & Sergei Levendorskii, 2007. "Irreversible Decisions under Uncertainty," Studies in Economic Theory, Springer, number 978-3-540-73746-9, June.
  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, May.

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

  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. 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, 2011. "Preemption Games under Levy Uncertainty," Department of Economics Working Papers 131101, The University of Texas at Austin, Department of Economics, revised Oct 2014.
    6. Frank Riedel & Xia Su, 2011. "On irreversible investment," Finance and Stochastics, Springer, vol. 15(4), pages 607-633, December.
    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. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "A theory of endogenous time preference, and discounted utility anomalies," Microeconomics 0506005, EconWPA.
    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, 2010. "Investment timing in presence of downside risk: a certainty equivalent characterization," Annals of Finance, Springer, vol. 6(3), pages 317-333, July.
    6. 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.
    7. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "Discount factors ex post and ex ante, and discounted utility anomalies," Microeconomics 0510013, EconWPA, revised 13 Dec 2005.
    8. Christian Flor & Simon Hansen, 2013. "Technological advances and the decision to invest," Annals of Finance, Springer, vol. 9(3), pages 383-420, August.
    9. 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.
    10. Boyarchenko, Svetlana & Levendorskii, Sergei, 2008. "Exit problems in regime-switching models," Journal of Mathematical Economics, Elsevier, vol. 44(2), pages 180-206, January.
    11. Boyarchenko, Svetlana & Levendorskii, Sergei, 2010. "Optimal stopping in Levy models, for non-monotone discontinuous payoffs," MPRA Paper 27999, University Library of Munich, Germany.
    12. 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.
    13. 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. Svetlana Boyarchenko & Sergey Levendorskiy, 2004. "Optimal stopping made easy," Finance 0410016, EconWPA.

    Cited by:

    1. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "A theory of endogenous time preference, and discounted utility anomalies," Microeconomics 0506005, EconWPA.
    2. 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.
    3. 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.
    4. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "Discount factors ex post and ex ante, and discounted utility anomalies," Microeconomics 0510013, EconWPA, revised 13 Dec 2005.
    5. 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.
    6. Othón M. Moreno, 2014. "Consumption of Durable Goods under Ambiguity," Working Papers 2014-02, Banco de México.
    7. Boyarchenko, Svetlana & Levendorskii, Sergei, 2010. "Optimal stopping in Levy models, for non-monotone discontinuous payoffs," MPRA Paper 27999, University Library of Munich, Germany.
    8. Jaap H. Abbring, 2012. "Mixed Hitting‐Time Models," Econometrica, Econometric Society, vol. 80(2), pages 783-819, March.
    9. 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).
    10. 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.
    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. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "A theory of endogenous time preference, and discounted utility anomalies," Microeconomics 0506005, EconWPA.
    3. 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.
    4. 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.
    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. 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. "American options: the EPV pricing model," Annals of Finance, Springer, vol. 1(3), pages 267-292, August.
    8. 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.
    9. Boyarchenko, Svetlana & Levendorskii, Sergei, 2008. "Exit problems in regime-switching models," Journal of Mathematical Economics, Elsevier, vol. 44(2), pages 180-206, January.
    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. 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.

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

  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. Alberto Bisin & Piero Gottardi & Guido Ruta, 2014. "Equilibrium Corporate Finance and Intermediation," NBER Working Papers 20345, National Bureau of Economic Research, Inc.

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

  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. Zhengjun Jiang & Martijn Pistorius, 2008. "Optimal dividend distribution under Markov-regime switching," Papers 0812.4978, arXiv.org, revised Apr 2011.
    2. Zhengjun Jiang & Martijn Pistorius, 2012. "Optimal dividend distribution under Markov regime switching," Finance and Stochastics, Springer, vol. 16(3), pages 449-476, July.
    3. Julia Eisenberg & Paul Kruhner, 2016. "The Impact of Negative Interest Rates on Optimal Capital Injections," Papers 1612.06654, arXiv.org.
    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. 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).
    5. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "A theory of endogenous time preference, and discounted utility anomalies," Microeconomics 0506005, EconWPA.
    6. Giorgio Ferrari & Paavo Salminen, 2014. "Irreversible Investment under L\'evy Uncertainty: an Equation for the Optimal Boundary," Papers 1411.2395, arXiv.org.
    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.
    8. 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.
    9. Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Practical guide to real options in discrete time," Papers cond-mat/0404106, arXiv.org.
    10. 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.
    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. 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.
    13. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "American options: the EPV pricing model," Annals of Finance, Springer, vol. 1(3), pages 267-292, August.
    14. Oscar Gutiérrez, 2005. "Real options and the Jorgensonian user cost of capital," Investigaciones Economicas, Fundación SEPI, vol. 29(3), pages 625-630, September.
    15. 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.
    16. 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.
    17. Boyarchenko, Svetlana & Levendorskii, Sergei, 2008. "Exit problems in regime-switching models," Journal of Mathematical Economics, Elsevier, vol. 44(2), pages 180-206, January.
    18. Boyarchenko, Svetlana & Levendorskii, Sergei, 2010. "Optimal stopping in Levy models, for non-monotone discontinuous payoffs," MPRA Paper 27999, University Library of Munich, Germany.
    19. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "Practical guide to real options in discrete time II," Finance 0501014, EconWPA.
    20. 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.
    21. 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.
    22. Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Real options and the universal bad news principle," Finance 0405011, EconWPA.
    23. Frank Riedel & Xia Su, 2011. "On irreversible investment," Finance and Stochastics, Springer, vol. 15(4), pages 607-633, December.
    24. Svetlana Boyarchenko, 2005. "Buridan's Ass and a Menu of Options," Game Theory and Information 0501006, EconWPA, revised 13 Dec 2005.

  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. Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Practical guide to real options in discrete time," Papers cond-mat/0404106, arXiv.org.
    3. 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.
    4. 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.
    5. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "Practical guide to real options in discrete time II," Finance 0501014, EconWPA.
    6. 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.
    7. 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.

  12. 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:

    1. 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.
    2. 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.
    3. 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. 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.

Chapters

  1. 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:

    1. 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.
    2. Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Practical guide to real options in discrete time," Papers cond-mat/0404106, arXiv.org.
    3. Sergei Levendorskii, 2002. "Pseudo-diffusions and Quadratic term structure models," Papers cond-mat/0212249, arXiv.org, revised Apr 2004.

  2. 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:

    1. 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.
    2. Sergei Levendorskii, 2002. "Pseudo-diffusions and Quadratic term structure models," Papers cond-mat/0212249, arXiv.org, revised Apr 2004.
    3. 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.
    4. 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.
    5. Denis Belomestny, 2009. "Spectral estimation of the fractional order of a Lévy process," SFB 649 Discussion Papers SFB649DP2009-021, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

  3. 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:

    1. 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.
    2. 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.
    3. 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 Business Engineering.
    4. 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.
    5. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "American options: the EPV pricing model," Annals of Finance, Springer, vol. 1(3), pages 267-292, August.
    6. Sergei Levendorskii, 2002. "Pseudo-diffusions and Quadratic term structure models," Papers cond-mat/0212249, arXiv.org, revised Apr 2004.
    7. Adam Misiorek & Rafal Weron, 2010. "Heavy-tailed distributions in VaR calculations," HSC Research Reports HSC/10/05, Hugo Steinhaus Center, Wroclaw University of Technology.
    8. Neil Shephard & Ole E. Barndorff-Nielsen, 2012. "Basics of Levy processes," Economics Series Working Papers 610, University of Oxford, Department of Economics.
    9. 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.
    10. Borak, Szymon & Misiorek, Adam & Weron, Rafal, 2010. "Models for Heavy-tailed Asset Returns," MPRA Paper 25494, University Library of Munich, Germany.
    11. Weron, Rafał, 2004. "Computationally intensive Value at Risk calculations," Papers 2004,32, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).

Books

  1. Svetlana Boyarchenko & Sergei Levendorskii, 2007. "Irreversible Decisions under Uncertainty," Studies in Economic Theory, Springer, number 978-3-540-73746-9, June.

    Cited by:

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

  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, May.

    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. 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.
    3. 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.
    4. Miquel Montero, 2007. "Renewal equations for option pricing," Papers 0711.2624, arXiv.org, revised Jun 2008.
    5. 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.
    6. Nina Boyarchenko & Sergei Levendorski&icaron;, 2007. "The Eigenfunction Expansion Method In Multi-Factor Quadratic Term Structure Models," Mathematical Finance, Wiley Blackwell, vol. 17(4), pages 503-539.
    7. 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.
    8. 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.
    9. Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Practical guide to real options in discrete time," Papers cond-mat/0404106, arXiv.org.
    10. Young Kim & Frank Fabozzi & Zuodong Lin & Svetlozar Rachev, 2012. "Option pricing and hedging under a stochastic volatility Lévy process model," Review of Derivatives Research, Springer, vol. 15(1), pages 81-97, April.
    11. Ernst Eberlein & Kathrin Glau & Antonis Papapantoleon, 2008. "Analysis of Fourier transform valuation formulas and applications," Papers 0809.3405, arXiv.org, revised Sep 2009.
    12. Sergei Levendorski&icaron;, 2005. "Pseudodiffusions And Quadratic Term Structure Models," Mathematical Finance, Wiley Blackwell, vol. 15(3), pages 393-424.
    13. Andrey Itkin & Peter Carr, 2010. "Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models," Papers 1002.1995, arXiv.org.
    14. 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.
    15. 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.
    16. 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.
    17. Neil Shephard & Ole E. Barndorff-Nielsen, 2012. "Basics of Levy processes," Economics Series Working Papers 610, University of Oxford, Department of Economics.
    18. 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.
    19. 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.
    20. 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.
    21. 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.
    22. Liming Feng & Vadim Linetsky, 2009. "Computing exponential moments of the discrete maximum of a Lévy process and lookback options," Finance and Stochastics, Springer, vol. 13(4), pages 501-529, September.
    23. Rossella Agliardi & Ramazan Gençay, 2012. "Hedging through a Limit Order Book with Varying Liquidity," Working Paper series 12_12, Rimini Centre for Economic Analysis.
    24. 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.
    25. 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.

More information

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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 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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