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Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models

Itkin, Andrey; Carr, Peter - In: Computational Economics 40 (2012) 1, pp. 63-104

Persistent link: https://www.econbiz.de/10010866869

Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case

Itkin, Andrey; Carr, Peter - In: Review of Derivatives Research 13 (2010) 2, pp. 141-176

Persistent link: https://www.econbiz.de/10008526467

An expanded Local Variance Gamma model

Carr, Peter; Itkin, Andrey - In: Computational economics 57 (2021) 4, pp. 949-987

Persistent link: https://www.econbiz.de/10012543243

Semi-analytical solutions for barrier and American options written on a time-dependent Ornstein-Uhlenbeck process

Carr, Peter; Itkin, Andrey - In: The journal of derivatives : JOD 29 (2021) 1, pp. 9-26

Persistent link: https://www.econbiz.de/10012612941

Semi-analytical pricing of barrier options in the time-dependent Heston model

Carr, Peter; Itkin, Andrey; Muravey, Dmitry - 2022

Persistent link: https://www.econbiz.de/10014231115

A new nonlinear partial differential equation in finance and a method of its solution

Itkin, Andrey - In: The journal of computational finance 21 (2017/2018) 4, pp. 1-21

Persistent link: https://www.econbiz.de/10011848371

Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps

Itkin, Andrey - In: Applied mathematical finance 24 (2017) 5/6, pp. 485-519

Persistent link: https://www.econbiz.de/10011815291

Pricing derivatives under Lévy models : modern finite-difference and pseudo-differential operators approach

Itkin, Andrey - 2017

This monograph presents a novel numerical approach to solving partial integro-differential equations arising in asset pricing models with jumps, which greatly exceeds the efficiency of existing approaches. The method, based on pseudo-differential operators and several original contributions to...

Persistent link: https://www.econbiz.de/10011789530

My reminiscences of Peter Carr

Itkin, Andrey - In: The journal of derivatives : JOD 30 (2022) 2, pp. 8-15

Persistent link: https://www.econbiz.de/10014231101

Semi-analytic pricing of American options in time-dependent jump-diffusion models with exponential jumps

Itkin, Andrey - In: The journal of derivatives : JOD 32 (2024) 1, pp. 110-137

Persistent link: https://www.econbiz.de/10015202619

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