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American and European options in multi-factor jump-diffusion models, near expiry
Levendorskij, Sergej Z. - In: Finance and stochastics 12 (2008) 4, pp. 541-560
Persistent link: https://www.econbiz.de/10003899270
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Efficient evaluation of expectations of functions of a Lévy process and its extremum
Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: Finance and stochastics 29 (2025) 2, pp. 443-468
Persistent link: https://www.econbiz.de/10015394806
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Fast and accurate pricing of barrier options under Lévy processes
Kudryavtsev, Oleg; Levendorskiǐ, Sergei - In: Finance and stochastics 13 (2009) 4, pp. 531-562
Persistent link: https://www.econbiz.de/10003899529