Boyarchenko, Mitya; Levendorskiĭ, Sergei Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided Lévy models: the parabolic Laplace inversion method. (English) Zbl 1398.91567 Quant. Finance 15, No. 3, 421-441 (2015). MSC: 91G20 60G51 44A10 PDFBibTeX XMLCite \textit{M. Boyarchenko} and \textit{S. Levendorskiĭ}, Quant. Finance 15, No. 3, 421--441 (2015; Zbl 1398.91567) Full Text: DOI
Boyarchenko, Mitya; Levendorskiĭ, Sergei Valuation of continuously monitored double barrier options and related securities. (English) Zbl 1278.91180 Math. Finance 22, No. 3, 419-444 (2012). MSC: 91G60 91G20 60G51 PDFBibTeX XMLCite \textit{M. Boyarchenko} and \textit{S. Levendorskiĭ}, Math. Finance 22, No. 3, 419--444 (2012; Zbl 1278.91180) Full Text: DOI
Boyarchenko, Mitya; de Innocentis, Marco; Levendorskiĭ, Sergei Prices of barrier and first-touch digital options in Lévy-driven models, near barrier. (English) Zbl 1232.91647 Int. J. Theor. Appl. Finance 14, No. 7, 1045-1090 (2011). Reviewer: Weiping Li (Stillwater) MSC: 91G20 PDFBibTeX XMLCite \textit{M. Boyarchenko} et al., Int. J. Theor. Appl. Finance 14, No. 7, 1045--1090 (2011; Zbl 1232.91647) Full Text: DOI
Boyarchenko, Mitya; Boyarchenko, Svetlana Double barrier options in regime-switching hyper-exponential jump-diffusion models. (English) Zbl 1233.91257 Int. J. Theor. Appl. Finance 14, No. 7, 1005-1043 (2011). Reviewer: Weiping Li (Stillwater) MSC: 91G20 PDFBibTeX XMLCite \textit{M. Boyarchenko} and \textit{S. Boyarchenko}, Int. J. Theor. Appl. Finance 14, No. 7, 1005--1043 (2011; Zbl 1233.91257) Full Text: DOI
Boyarchenko, Mitya; Levendorskiĭ, Sergei Prices and sensitivities of barrier and first-touch digital options in Lévy-driven models. (English) Zbl 1183.91177 Int. J. Theor. Appl. Finance 12, No. 8, 1125-1170 (2009). Reviewer: E. Ahmed (Mansoura) MSC: 91G20 91G60 65T50 PDFBibTeX XMLCite \textit{M. Boyarchenko} and \textit{S. Levendorskiĭ}, Int. J. Theor. Appl. Finance 12, No. 8, 1125--1170 (2009; Zbl 1183.91177) Full Text: DOI