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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/10008695493
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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/10009627499
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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
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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
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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
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New solvable stochastic volatility models for pricing volatility derivatives
Itkin, Andrey - In: Review of derivatives research 16 (2013) 2, pp. 111-134
Persistent link: https://www.econbiz.de/10009774404
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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
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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
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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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Splitting and Matrix Exponential Approach for Jump-Diffusion Models with Inverse Normal Gaussian, Hyperbolic and Meixner Jumps
Itkin, Andrey - 2014
This paper is a further extension of the method proposed in Itkin (2014) as applied to another set of jump-diffusion models: Inverse Normal Gaussian, Hyperbolic and Meixner. To solve the corresponding PIDEs we accomplish few steps. First, a second-order operator splitting on financial processes...
Persistent link: https://www.econbiz.de/10013040423