Details about Svetlana Boyarchenko

Access statistics for papers by Svetlana Boyarchenko.

Last updated 2024-12-07. Update your information in the RePEc Author Service.

Short-id: pbo123

Working Papers

2024

1. Alternative models for FX: pricing double barrier options in regime-switching L\'evy models with memory
   Papers, arXiv.org
2. Correct implied volatility shapes and reliable pricing in the rough Heston model
   Papers, arXiv.org
3. Efficient inverse $Z$-transform and Wiener-Hopf factorization
   Papers, arXiv.org

2023

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

2022

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

2021

12. SINH-acceleration for B-spline projection with Option Pricing Applications
    Papers, arXiv.org 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) (2021)

2019

13. Gauge transformations in the dual space, and pricing and estimation in the long run in affine jump-diffusion models
    Papers, arXiv.org View citations (1)
14. Static and semi-static hedging as contrarian or conformist bets
    Papers, arXiv.org View citations (2)
    See also Journal Article Static and semistatic hedging as contrarian or conformist bets, Mathematical Finance, Wiley Blackwell (2020) View citations (13) (2020)

2018

15. SINH-acceleration: efficient evaluation of probability distributions, option pricing, and Monte-Carlo simulations
    Papers, arXiv.org
    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) View citations (9) (2019)

2014

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

2010

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

2006

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

2005

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

25. American options: the EPV pricing model
    Finance, University Library of Munich, Germany View citations (2)
    See also Journal Article American options: the EPV pricing model, Annals of Finance, Springer (2005) View citations (19) (2005)
26. Inside and Outside Money, with an Application to the Russian Virtual Economy
    Macroeconomics, University Library of Munich, Germany View citations (1)
27. Optimal stopping made easy
    Finance, University Library of Munich, Germany View citations (12)
    See also Journal Article Optimal stopping made easy, Journal of Mathematical Economics, Elsevier (2007) View citations (32) (2007)
28. Real options and the universal bad news principle
    Levine's Bibliography, UCLA Department of Economics View citations (2)
    Also in Finance, University Library of Munich, Germany (2004) View citations (2)
29. Search, layoffs and reservation wages when job offers follow a stochastic process
    Macroeconomics, University Library of Munich, Germany
30. Universal bad news principle and pricing of options on dividend-paying assets
    Papers, arXiv.org View citations (3)

2003

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

2001

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

2000

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

1998

36. 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 View citations (1)

Journal Articles

2021

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

2020

3. Static and semistatic hedging as contrarian or conformist bets
   Mathematical Finance, 2020, 30, (3), 921-960 View citations (13)
   See also Working Paper Static and semi-static hedging as contrarian or conformist bets, Papers (2019) View citations (2) (2019)
4. Super- and submodularity of stopping games with random observations
   Economic Theory, 2020, 70, (4), 983-1022 View citations (3)

2019

5. Industry equilibrium with random exit or default
   Journal of Public Economic Theory, 2019, 21, (4), 650-686 View citations (1)
6. 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 View citations (9)
   See also Working Paper SINH-acceleration: efficient evaluation of probability distributions, option pricing, and Monte-Carlo simulations, Papers (2018) (2018)

2017

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

2014

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

2013

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

2011

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

2008

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

2007

13. Optimal stopping made easy
    Journal of Mathematical Economics, 2007, 43, (2), 201-217 View citations (32)
    See also Working Paper Optimal stopping made easy, Finance (2004) View citations (12) (2004)
14. 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) (2005)

2006

15. General Option Exercise Rules, with Applications to Embedded Options and Monopolistic Expansion
    The B.E. Journal of Theoretical Economics, 2006, 6, (1), 53 View citations (11)
    See also Working Paper General option exercise rules, with applications to embedded options and monopolistic expansion, 2006 Meeting Papers (2006) View citations (11) (2006)

2005

16. American options: the EPV pricing model
    Annals of Finance, 2005, 1, (3), 267-292 View citations (19)
    See also Working Paper American options: the EPV pricing model, Finance (2004) View citations (2) (2004)

2004

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

2002

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

2000

20. OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
    International Journal of Theoretical and Applied Finance (IJTAF), 2000, 03, (03), 549-552 View citations (45)

Books

2007

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

2002

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

Chapters

2002

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