Sergei Levendorskii
Sergei Levendorskii
Calico Science Consulting, Partner
Verified email at utexas.edu
Title
Cited by
Cited by
Year
Non-Gaussian Merton-Black-Scholes Theory
S Boyarchenko, SZ Levendorskii
World Scientific, 2002
5122002
Option pricing for truncated LÚvy processes
SI Boyarchenko, SZ Levendorskiǐ
International journal of theoretical and applied finance 3 (03), 549-552, 2000
2852000
Perpetual American options under LÚvy processes
SI Boyarchenko, SZ Levendorskii
SIAM Journal on Control and Optimization 40 (6), 1663-1696, 2002
2232002
Algebras of functions on compact quantum groups, Schubert cells and quantum tori
S Levendorskii, Y Soibelman
Communications in Mathematical Physics 139 (1), 141-170, 1991
1901991
Barrier options and touch-and-out options under regular LÚvy processes of exponential type
S Boyarchenko, S Levendorskiĭ
Annals of Applied Probability 12 (4), 1261-1298, 2002
1622002
Feller processes of normal inverse Gaussian type
OE Barndorff-Nielsen, SZ Levendorskii
Quantitative Finance 1, 318-331, 2001
1542001
Pricing of the American put under LÚvy processes
SZ Levendorskiǐ
International Journal of Theoretical and Applied Finance 7 (03), 303-335, 2004
1522004
Fast and accurate pricing of barrier options under LÚvy processes
O Kudryavtsev, S Levendorskiǐ
Finance and Stochastics 13 (4), 531-562, 2009
1082009
Irreversible decisions under uncertainty: optimal stopping made easy
S Boyarchenko, S Levendorskii
Springer Science & Business Media, 2007
1022007
On the structure of spectra of periodic elliptic operators
P Kuchment, S Levendorskiţ
Transactions of the American Mathematical Society 354 (2), 537-569, 2002
752002
American options: the EPV pricing model
S Boyarchenko, S Levendorskii
Annals of Finance 1 (3), 267-292, 2005
652005
The quantum Weyl group and the universal quantumR-matrix for affine lie algebraA1(1)
S Levendorskii, Y Soibelman, V Stukopin
letters in mathematical physics 27 (4), 253-264, 1993
611993
Asymptotic distribution of eigenvalues of differential operators
S Levendorskii
Springer Science & Business Media, 1990
601990
Prices and sensitivities of barrier and first-touch digital options in LÚvy-driven models
M Boyarchenko, S Levendorskiĭ
International Journal of Theoretical and Applied Finance 12 (08), 1125-1170, 2009
582009
Generalizations of the Black-Scholes equation for truncated LÚvy processes
SI Boyarchenko, SZ Levendorskii
Working Paper, 1999
571999
The Eigenfunction Expansion Method in Multi‐Factor Quadratic Term Structure Models
N Boyarchenko, S Levendorskiǐ
Mathematical finance 17 (4), 503-539, 2007
562007
Degenerate elliptic equations
S Levendorskii
Springer Science & Business Media, 1993
541993
American options in regime-switching models
S Boyarchenko, S Levendorskii
SIAM Journal on Control and Optimization 48 (3), 1353-1376, 2009
532009
Early exercise boundary and option prices in LÚvy driven models
SZ Levendorskiǐ
Quantitative Finance 4 (5), 525-547, 2004
532004
Quantum Weyl group and multiplicative formula for the R-matrix of a simple Lie algebra
SZ Levendorskii, YS Soibel'man
Functional Analysis and Its Applications 25 (2), 143-145, 1991
451991
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Articles 1–20