Sergei Levendorskii

According to our database1, Sergei Levendorskii
  • authored at least 7 papers between 2002 and 2014.
  • has no known "Dijkstra number"2.

Timeline

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In proceedings 
Article 
PhD thesis 
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Links

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Bibliography

2014
Preemption games under Lévy uncertainty.
Games and Economic Behavior, 2014

2011
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

2009
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

2008
American and European options in multi-factor jump-diffusion models, near expiry.
Finance and Stochastics, 2008

2002
Perpetual American Options Under L[e-acute]vy Processes.
SIAM J. Control and Optimization, 2002


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