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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

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

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

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

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

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

Pricing illiquid options with n + 1 liquid proxies using mixed dynamic-static hedging

Halperin, Igor; Itkin, Andrey - In: International journal of theoretical and applied finance 16 (2013) 7, pp. 1-17

Persistent link: https://www.econbiz.de/10010233264

American options in time-dependent one-factor models : semi-analytic pricing, numerical methods, and ML support

Itkin, Andrey; Muravey, Dmitry - 2024

Persistent link: https://www.econbiz.de/10015199836

Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit

Itkin, Andrey; Muravey, Dmitry - In: Frontiers of mathematical finance : FMF 1 (2022) 1, pp. 53-79

We continue a series of papers devoted to construction of semi-analytic solutions for barrier options. These options are written on underlying following some simple one-factor diffusion model, but all the parameters of the model as well as the barriers are time-dependent. We managed to show that...

Persistent link: https://www.econbiz.de/10015373403

Semi-analytical pricing of barrier options in the time-dependent λ-SABR model : uncorrelated case

Itkin, Andrey; Muravey, Dmitry - 2022

Persistent link: https://www.econbiz.de/10014231096