Sergei Levendorskii

According to our database, Sergei Levendorskii authored at least 15 papers between 2002 and 2023.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2023

Efficient inverse Z-transform: sufficient conditions.

Svetlana Boyarchenko, Sergei Levendorskii

CoRR, 2023

2022

Efficient evaluation of expectations of functions of a stable Lévy process and its extremum.

Svetlana Boyarchenko, Sergei Levendorskii

CoRR, 2022

Efficient inverse Z-transform and pricing barrier and lookback options with discrete monitoring.

Svetlana Boyarchenko, Sergei Levendorskii

CoRR, 2022

2021

SINH-acceleration for B-spline projection with Option Pricing Applications.

Svetlana Boyarchenko, Sergei Levendorskii, Justin Lars Kirkby, Zhenyu Cui

CoRR, 2021

2018

Pricing Arithmetic Asian Options Under Lévy Models by Backward Induction in the Dual Space.

Sergei Levendorskii

SIAM J. Financial Math., 2018

2015

Efficient option pricing under Lévy processes, with CVA and FVA.

Chun Kong Shek, Jimmy Law, Sergei Levendorskii

Frontiers Appl. Math. Stat., 2015

2014

Preemption games under Lévy uncertainty.

Svetlana Boyarchenko, Sergei Levendorskii

Games Econ. Behav., 2014

2011

Convergence of Price and Sensitivities in Carr's Randomization Approximation Globally and Near Barrier.

Sergei Levendorskii

SIAM J. Financial Math., 2011

Optimal Stopping in Lévy Models for Nonmonotone Discontinuous Payoffs.

Svetlana Boyarchenko, Sergei Levendorskii

SIAM J. Control. Optim., 2011

2009

American Options in Regime-Switching Models.

Svetlana Boyarchenko, Sergei Levendorskii

SIAM J. Control. Optim., 2009

Fast and accurate pricing of barrier options under Lévy processes.

Oleg Kudryavtsev, Sergei Levendorskii

Finance Stochastics, 2009

2008

American and European options in multi-factor jump-diffusion models, near expiry.

Sergei Levendorskii

Finance Stochastics, 2008

American options in regime-switching Lévy models with non-semibounded stochastic interest rates.

Svetlana Boyarchenko, Sergei Levendorskii

Proceedings of the American Control Conference, 2008

2002

Perpetual American Options Under L[e-acute]vy Processes.

S. I. Boyarchenko, S. Z. Levendorskii

SIAM J. Control. Optim., 2002

Perpetual American options under Levy processes.

S. I. Boyarchenko, S. Z. Levendorskii

Proceedings of the 41st IEEE Conference on Decision and Control, 2002