Sergei Levendorskii

Publication Activity (10 Years)

Years Active: 2008-2024
Publications (10 Years): 6

Top Topics

Transform Coefficients

Black Scholes Model

Sufficient Conditions

Top Venues

Games Econ. Behav.

SIAM J. Financial Math.

Frontiers Appl. Math. Stat.

Publications

Svetlana Boyarchenko, Sergei Levendorskii
-transform and Wiener-Hopf factorization. CoRR (2024)
Svetlana Boyarchenko, Sergei Levendorskii
Efficient inverse Z-transform: sufficient conditions. CoRR (2023)
Svetlana Boyarchenko, Sergei Levendorskii
Efficient evaluation of expectations of functions of a stable Lévy process and its extremum. CoRR (2022)
Svetlana Boyarchenko, Sergei Levendorskii
Efficient inverse Z-transform and pricing barrier and lookback options with discrete monitoring. CoRR (2022)
Svetlana Boyarchenko, Sergei Levendorskii, J. Lars Kirkby, Zhenyu Cui
SINH-acceleration for B-spline projection with Option Pricing Applications. CoRR (2021)
Sergei Levendorskii
Pricing Arithmetic Asian Options Under Lévy Models by Backward Induction in the Dual Space. SIAM J. Financial Math. 9 (1) (2018)
Chun Kong Shek, Jimmy Law, Sergei Levendorskii
Efficient option pricing under Lévy processes, with CVA and FVA. Frontiers Appl. Math. Stat. 1 (2015)
Svetlana Boyarchenko, Sergei Levendorskii
Preemption games under Lévy uncertainty. Games Econ. Behav. 88 (2014)
Svetlana Boyarchenko, Sergei Levendorskii
Optimal Stopping in Lévy Models for Nonmonotone Discontinuous Payoffs. SIAM J. Control. Optim. 49 (5) (2011)
Sergei Levendorskii
Convergence of Price and Sensitivities in Carr's Randomization Approximation Globally and Near Barrier. SIAM J. Financial Math. 2 (1) (2011)
Svetlana Boyarchenko, Sergei Levendorskii
American Options in Regime-Switching Models. SIAM J. Control. Optim. 48 (3) (2009)
Oleg Kudryavtsev, Sergei Levendorskii
Fast and accurate pricing of barrier options under Lévy processes. Finance Stochastics 13 (4) (2009)
Sergei Levendorskii
American and European options in multi-factor jump-diffusion models, near expiry. Finance Stochastics 12 (4) (2008)
Svetlana Boyarchenko, Sergei Levendorskii
American options in regime-switching Lévy models with non-semibounded stochastic interest rates. ACC (2008)