EconPapers    
Economics at your fingertips  
 

Details about Svetlana Boyarchenko

Workplace:Department of Economics, University of Texas-Austin, (more information at EDIRC)

Access statistics for papers by Svetlana Boyarchenko.

Last updated 2024-04-06. Update your information in the RePEc Author Service.

Short-id: pbo123


Jump to Journal Articles Books Chapters

Working Papers

2024

  1. Alternative models for FX: pricing double barrier options in regime-switching L\'evy models with memory
    Papers, arXiv.org Downloads

2023

  1. Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in L\'evy models
    Papers, arXiv.org Downloads
  2. Efficient evaluation of joint pdf of a L\'evy process, its extremum, and hitting time of the extremum
    Papers, arXiv.org Downloads
  3. Efficient inverse $Z$-transform: sufficient conditions
    Papers, arXiv.org Downloads
  4. Simulation of a L\'evy process, its extremum, and hitting time of the extremum via characteristic functions
    Papers, arXiv.org Downloads

2022

  1. Efficient evaluation of double-barrier options and joint cpdf of a L\'evy process and its two extrema
    Papers, arXiv.org Downloads View citations (2)
  2. Efficient evaluation of expectations of functions of a stable L\'evy process and its extremum
    Papers, arXiv.org Downloads View citations (2)
  3. Efficient inverse $Z$-transform and pricing barrier and lookback options with discrete monitoring
    Papers, arXiv.org Downloads View citations (3)
  4. L\'evy models amenable to efficient calculations
    Papers, arXiv.org Downloads View citations (1)

2021

  1. SINH-acceleration for B-spline projection with Option Pricing Applications
    Papers, arXiv.org Downloads View citations (2)
    See also Journal Article SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2021) Downloads (2021)

2019

  1. Gauge transformations in the dual space, and pricing and estimation in the long run in affine jump-diffusion models
    Papers, arXiv.org Downloads View citations (1)
  2. Static and semi-static hedging as contrarian or conformist bets
    Papers, arXiv.org Downloads View citations (2)
    See also Journal Article Static and semistatic hedging as contrarian or conformist bets, Mathematical Finance, Wiley Blackwell (2020) Downloads View citations (12) (2020)

2018

  1. SINH-acceleration: efficient evaluation of probability distributions, option pricing, and Monte-Carlo simulations
    Papers, arXiv.org Downloads
    See also Journal Article SINH-ACCELERATION: EFFICIENT EVALUATION OF PROBABILITY DISTRIBUTIONS, OPTION PRICING, AND MONTE CARLO SIMULATIONS, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2019) Downloads View citations (9) (2019)

2014

  1. Ambiguous Jump-Diffusions and Optimal Stopping
    Department of Economics Working Papers, The University of Texas at Austin, Department of Economics Downloads
  2. Preemption Games under Levy Uncertainty
    Department of Economics Working Papers, The University of Texas at Austin, Department of Economics Downloads View citations (6)
    See also Journal Article Preemption games under Lévy uncertainty, Games and Economic Behavior, Elsevier (2014) Downloads View citations (7) (2014)

2010

  1. Discounting when income is stochastic and climate change policies
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Optimal stopping in Levy models, for non-monotone discontinuous payoffs
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)

2006

  1. General option exercise rules, with applications to embedded options and monopolistic expansion
    2006 Meeting Papers, Society for Economic Dynamics Downloads View citations (11)
    Also in Finance, University Library of Munich, Germany (2005) Downloads View citations (1)

    See also Journal Article General Option Exercise Rules, with Applications to Embedded Options and Monopolistic Expansion, The B.E. Journal of Theoretical Economics, De Gruyter (2006) Downloads View citations (11) (2006)

2005

  1. A theory of endogenous time preference, and discounted utility anomalies
    Microeconomics, University Library of Munich, Germany Downloads View citations (1)
  2. Buridan's Ass and a Menu of Options
    Game Theory and Information, University Library of Munich, Germany Downloads
  3. Discount factors ex post and ex ante, and discounted utility anomalies
    Microeconomics, University Library of Munich, Germany Downloads View citations (4)
  4. Practical guide to real options in discrete time II
    Finance, University Library of Munich, Germany Downloads
    Also in Finance, University Library of Munich, Germany (2004) Downloads View citations (8)
    Papers, arXiv.org (2004) Downloads View citations (7)
    Computing in Economics and Finance 2004, Society for Computational Economics (2004) Downloads View citations (8)

    See also Journal Article PRACTICAL GUIDE TO REAL OPTIONS IN DISCRETE TIME, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2007) View citations (11) (2007)

2004

  1. American options: the EPV pricing model
    Finance, University Library of Munich, Germany Downloads View citations (2)
    See also Journal Article American options: the EPV pricing model, Annals of Finance, Springer (2005) Downloads View citations (18) (2005)
  2. Inside and Outside Money, with an Application to the Russian Virtual Economy
    Macroeconomics, University Library of Munich, Germany Downloads View citations (1)
  3. Optimal stopping made easy
    Finance, University Library of Munich, Germany Downloads View citations (12)
    See also Journal Article Optimal stopping made easy, Journal of Mathematical Economics, Elsevier (2007) Downloads View citations (23) (2007)
  4. Real options and the universal bad news principle
    Finance, University Library of Munich, Germany Downloads View citations (2)
    Also in Levine's Bibliography, UCLA Department of Economics (2004) Downloads View citations (2)
  5. Search, layoffs and reservation wages when job offers follow a stochastic process
    Macroeconomics, University Library of Munich, Germany Downloads
  6. Universal bad news principle and pricing of options on dividend-paying assets
    Papers, arXiv.org Downloads View citations (3)

2003

  1. A Three-Sector Model of the Russian Virtual Economy
    EERC Working Paper Series, EERC Research Network, Russia and CIS Downloads

2001

  1. Arrow's Equivalency Theorem in a Model with Neoclassical Firms
    Penn CARESS Working Papers, Penn Economics Department Downloads
    See also Journal Article Arrow's equivalency theorem in a model with neoclassical firms, Economic Theory, Springer (2004) Downloads View citations (5) (2004)
  2. Capital Accumulation under Non-Gaussian Processes and the Marshallian Law
    Penn CARESS Working Papers, Penn Economics Department Downloads View citations (1)
  3. Money Substitutes in the Russian Virtual Economy: Sources and Impact on the Economy
    EERC Working Paper Series, EERC Research Network, Russia and CIS Downloads

2000

  1. Search-Money-and-Barter Models of Financial Stabilization
    William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan Downloads View citations (6)

1998

  1. Models of Investment under Uncertainty when Shocks are Non-Gaussian. On the Impact of the Policy Uncertainty on Investment
    EERC Working Paper Series, EERC Research Network, Russia and CIS Downloads View citations (1)

Journal Articles

2021

  1. Inefficiency of sponsored research
    Journal of Mathematical Economics, 2021, 95, (C) Downloads
  2. SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS
    International Journal of Theoretical and Applied Finance (IJTAF), 2021, 24, (08), 1-50 Downloads
    See also Working Paper SINH-acceleration for B-spline projection with Option Pricing Applications, Papers (2021) Downloads View citations (2) (2021)

2020

  1. Static and semistatic hedging as contrarian or conformist bets
    Mathematical Finance, 2020, 30, (3), 921-960 Downloads View citations (12)
    See also Working Paper Static and semi-static hedging as contrarian or conformist bets, Papers (2019) Downloads View citations (2) (2019)
  2. Super- and submodularity of stopping games with random observations
    Economic Theory, 2020, 70, (4), 983-1022 Downloads View citations (2)

2019

  1. Industry equilibrium with random exit or default
    Journal of Public Economic Theory, 2019, 21, (4), 650-686 Downloads View citations (1)
  2. SINH-ACCELERATION: EFFICIENT EVALUATION OF PROBABILITY DISTRIBUTIONS, OPTION PRICING, AND MONTE CARLO SIMULATIONS
    International Journal of Theoretical and Applied Finance (IJTAF), 2019, 22, (03), 1-49 Downloads View citations (9)
    See also Working Paper SINH-acceleration: efficient evaluation of probability distributions, option pricing, and Monte-Carlo simulations, Papers (2018) Downloads (2018)

2017

  1. EFFICIENT PRICING OF BARRIER OPTIONS AND CREDIT DEFAULT SWAPS IN LÉVY MODELS WITH STOCHASTIC INTEREST RATE
    Mathematical Finance, 2017, 27, (4), 1089-1123 Downloads View citations (3)

2014

  1. Preemption games under Lévy uncertainty
    Games and Economic Behavior, 2014, 88, (C), 354-380 Downloads View citations (7)
    See also Working Paper Preemption Games under Levy Uncertainty, Department of Economics Working Papers (2014) Downloads View citations (6) (2014)

2013

  1. American Options in the Heston Model with Stochastic Interest Rate and Its Generalizations
    Applied Mathematical Finance, 2013, 20, (1), 26-49 Downloads View citations (8)
  2. EFFICIENT LAPLACE INVERSION, WIENER-HOPF FACTORIZATION AND PRICING LOOKBACKS
    International Journal of Theoretical and Applied Finance (IJTAF), 2013, 16, (03), 1-40 Downloads View citations (15)

2011

  1. DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION MODELS
    International Journal of Theoretical and Applied Finance (IJTAF), 2011, 14, (07), 1005-1043 Downloads View citations (15)

2008

  1. Exit problems in regime-switching models
    Journal of Mathematical Economics, 2008, 44, (2), 180-206 Downloads View citations (12)

2007

  1. Optimal stopping made easy
    Journal of Mathematical Economics, 2007, 43, (2), 201-217 Downloads View citations (23)
    See also Working Paper Optimal stopping made easy, Finance (2004) Downloads View citations (12) (2004)
  2. PRACTICAL GUIDE TO REAL OPTIONS IN DISCRETE TIME
    International Economic Review, 2007, 48, (1), 311-342 View citations (11)
    See also Working Paper Practical guide to real options in discrete time II, Finance (2005) Downloads (2005)

2006

  1. General Option Exercise Rules, with Applications to Embedded Options and Monopolistic Expansion
    The B.E. Journal of Theoretical Economics, 2006, 6, (1), 1-51 Downloads View citations (11)
    See also Working Paper General option exercise rules, with applications to embedded options and monopolistic expansion, 2006 Meeting Papers (2006) Downloads View citations (11) (2006)

2005

  1. American options: the EPV pricing model
    Annals of Finance, 2005, 1, (3), 267-292 Downloads View citations (18)
    See also Working Paper American options: the EPV pricing model, Finance (2004) Downloads View citations (2) (2004)

2004

  1. Arrow's equivalency theorem in a model with neoclassical firms
    Economic Theory, 2004, 23, (4), 739-775 Downloads View citations (5)
    See also Working Paper Arrow's Equivalency Theorem in a Model with Neoclassical Firms, Penn CARESS Working Papers (2001) Downloads (2001)
  2. Irreversible Decisions and Record-Setting News Principles
    American Economic Review, 2004, 94, (3), 557-568 Downloads View citations (42)

2002

  1. Pricing of perpetual Bermudan options
    Quantitative Finance, 2002, 2, (6), 432-442 Downloads View citations (14)

2000

  1. OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
    International Journal of Theoretical and Applied Finance (IJTAF), 2000, 03, (03), 549-552 Downloads View citations (43)

Books

2007

  1. Irreversible Decisions under Uncertainty
    Studies in Economic Theory, Springer View citations (14)

2002

  1. Non-Gaussian Merton-Black-Scholes Theory
    World Scientific Books, World Scientific Publishing Co. Pte. Ltd. Downloads View citations (61)

Chapters

2002

  1. American options: finite time horizon
    Chapter 6 in Non-Gaussian Merton-Black-Scholes Theory, 2002, pp 151-164 Downloads
  2. Barrier options
    Chapter 8 in Non-Gaussian Merton-Black-Scholes Theory, 2002, pp 185-198 Downloads View citations (5)
  3. Discrete time models
    Chapter 13 in Non-Gaussian Merton-Black-Scholes Theory, 2002, pp 267-280 Downloads
  4. Elements of calculus of pseudodifferential operators
    Chapter 16 in Non-Gaussian Merton-Black-Scholes Theory, 2002, pp 365-383 Downloads
  5. Endogenous default and pricing of the corporate debt
    Chapter 11 in Non-Gaussian Merton-Black-Scholes Theory, 2002, pp 231-253 Downloads
  6. Fast pricing of European options
    Chapter 12 in Non-Gaussian Merton-Black-Scholes Theory, 2002, pp 255-266 Downloads
  7. Feller processes of normal inverse Gaussian type
    Chapter 14 in Non-Gaussian Merton-Black-Scholes Theory, 2002, pp 281-294 Downloads
  8. First-touch digitals
    Chapter 7 in Non-Gaussian Merton-Black-Scholes Theory, 2002, pp 165-183 Downloads
  9. Introduction
    Chapter 1 in Non-Gaussian Merton-Black-Scholes Theory, 2002, pp 1-37 Downloads
  10. Investment under uncertainty and capital accumulation
    Chapter 10 in Non-Gaussian Merton-Black-Scholes Theory, 2002, pp 221-230 Downloads
  11. Lévy processes
    Chapter 2 in Non-Gaussian Merton-Black-Scholes Theory, 2002, pp 39-66 Downloads View citations (11)
  12. Multi-asset contracts
    Chapter 9 in Non-Gaussian Merton-Black-Scholes Theory, 2002, pp 199-219 Downloads
  13. Perpetual American options
    Chapter 5 in Non-Gaussian Merton-Black-Scholes Theory, 2002, pp 121-149 Downloads View citations (4)
  14. Pricing and hedging of contingent claims of European type
    Chapter 4 in Non-Gaussian Merton-Black-Scholes Theory, 2002, pp 97-120 Downloads
  15. Pseudo-differential operators with constant symbols
    Chapter 15 in Non-Gaussian Merton-Black-Scholes Theory, 2002, pp 295-364 Downloads
  16. Regular Lévy Processes of Exponential type in 1D
    Chapter 3 in Non-Gaussian Merton-Black-Scholes Theory, 2002, pp 67-96 Downloads
 
Page updated 2024-06-25