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Efficient pricing and reliable calibration in the Heston model

Levendorskij, Sergej Z. - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-44

Persistent link: https://www.econbiz.de/10009685887

Efficient Laplace inversion, Wiener-Hopf factorization and pricing lookbacks

Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: International journal of theoretical and applied finance 16 (2013) 3, pp. 1-40

Persistent link: https://www.econbiz.de/10009756073

Method of paired contours and pricing barrier options and CDSs of long maturities

Levendorskij, Sergej Z. - In: International journal of theoretical and applied finance 17 (2014) 5, pp. 1-58

Persistent link: https://www.econbiz.de/10010437194

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

ON ERRORS AND BIAS OF FOURIER TRANSFORM METHODS IN QUADRATIC TERM STRUCTURE MODELS

BOYARCHENKO, NINA; LEVENDORSKIǏ, SERGEI - In: International Journal of Theoretical and Applied … 10 (2007) 02, pp. 273-306

We analyze and compare the performance of the Fourier transform method in affine and quadratic term structure models. We explain why the method of the reduction to FFT in dimension 1 is efficient for ATSMs of type A0(n), but may lead to sizable errors for QTSMs unless computational errors are...

Persistent link: https://www.econbiz.de/10005060194