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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

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

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

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

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

To sigmoid-based functional description of the volatility smile

Itkin, Andrey - In: The North American journal of economics and finance : a … 31 (2015), pp. 264-291

Persistent link: https://www.econbiz.de/10011514245

Fitting local volatility : analytic and numerical approaches in Black-Scholes and local variance gamma models

Itkin, Andrey - 2020

"The concept of local volatility as well as the local volatility model are one of the classical topics of mathematical finance. Although the existing literature is wide, there still exist various problems that have not drawn sufficient attention so far, for example: a) construction of analytical...

Persistent link: https://www.econbiz.de/10012199721

Semi-static hedging of barrier options under poisson jumps

Carr, Peter - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1091-1111

Persistent link: https://www.econbiz.de/10009407668