According to our database1, Sergei Levendorskii
- authored at least 8 papers between 2002 and 2018.
- has no known "Dijkstra number"2.
Legend:Book In proceedings Article PhD thesis Other
Pricing Arithmetic Asian Options Under Lévy Models by Backward Induction in the Dual Space.
SIAM J. Financial Math., 2018
Preemption games under Lévy uncertainty.
Games and Economic Behavior, 2014
Convergence of Price and Sensitivities in Carr's Randomization Approximation Globally and Near Barrier.
SIAM J. Financial Math., 2011
Optimal Stopping in Lévy Models for Nonmonotone Discontinuous Payoffs.
SIAM J. Control and Optimization, 2011
American Options in Regime-Switching Models.
SIAM J. Control and Optimization, 2009
Fast and accurate pricing of barrier options under Lévy processes.
Finance and Stochastics, 2009
American and European options in multi-factor jump-diffusion models, near expiry.
Finance and Stochastics, 2008
Perpetual American Options Under L[e-acute]vy Processes.
SIAM J. Control and Optimization, 2002