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On errors and bias of Fourier transform methods in quadratic term structure models
Boyarchenko, Nina; Levendorskij, Sergej Z. - In: International journal of theoretical and applied finance 10 (2007) 2, pp. 273-306
Persistent link: https://www.econbiz.de/10003441974
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The eigenfunction expansion method in multi-factor quadratic term structure models
Boyarchenko, Nina; Levendorskij, Sergej Z. - In: Mathematical finance : an international journal of … 17 (2007) 4, pp. 503-539
Persistent link: https://www.econbiz.de/10003626604
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Pseudodiffusions and quadratic term structure models
Levendorskij, Sergej Z. - In: Mathematical finance : an international journal of … 15 (2005) 3, pp. 393-424
Persistent link: https://www.econbiz.de/10002983089
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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 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
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Consistency conditions for affine term structure models : II. option pricing under diffusions with embedded jumps
Levendorskij, Sergej Z. - In: Annals of finance 2 (2006) 2, pp. 207-224
Persistent link: https://www.econbiz.de/10003282260
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Option pricing for truncated Lévy processes
Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: International journal of theoretical and applied finance 3 (2000) 3, pp. 549-552
Persistent link: https://www.econbiz.de/10001524333
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Pricing of the American put under Lévy processes
Levendorskij, Sergej Z. - In: International journal of theoretical and applied finance 7 (2004) 3, pp. 303-335
Persistent link: https://www.econbiz.de/10002111463
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Sinh-acceleration for B-spline projection with option pricing applications
Bojarčenko, Svetlana I.; Levendorskij, Sergej Z.; … - In: International journal of theoretical and applied finance 24 (2021) 8, pp. 1-50
Persistent link: https://www.econbiz.de/10012887408
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Barrier options and touch-and-out options under regular Lévy processes of exponential type
Bojarčenko, Svetlana I. (contributor);  … - 2000 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001543244