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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

Prices of barrier and first-touch digital options in Lévy-driven models, near barrier

Boyarchenko, Mitya; Innocentis, Marco de; Levendorskij, … - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1045-1090

Persistent link: https://www.econbiz.de/10009407673

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

Efficent pricing of barrier options and credit default swapts in Lévy models with stochastic interest rate

Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: Mathematical finance : an international journal of … 27 (2017) 4, pp. 1089-1123

Persistent link: https://www.econbiz.de/10011765022

PRICING OF FIRST TOUCH DIGITALS UNDER NORMAL INVERSE GAUSSIAN PROCESSES

KUDRYAVTSEV, OLEG; LEVENDORSKIǏ, SERGEI - In: International Journal of Theoretical and Applied … 09 (2006) 06, pp. 915-949

We calculate prices of first touch digitals under normal inverse Gaussian (NIG) processes, and compare them to prices in the Brownian model and double exponential jump-diffusion model. Numerical results are produced to show that for typical parameters values, the relative error of the Brownian...

Persistent link: https://www.econbiz.de/10004971745