Follow
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
5682002
Option pricing for truncated LÚvy processes
SI Boyarchenko, SZ Levendorskiǐ
International journal of theoretical and applied finance 3 (03), 549-552, 2000
3372000
Perpetual American options under LÚvy processes
SI Boyarchenko, SZ Levendorskii
SIAM Journal on Control and Optimization 40 (6), 1663-1696, 2002
2482002
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
2051991
Pricing of the American put under LÚvy processes
SZ Levendorskiǐ
International Journal of Theoretical and Applied Finance 7 (03), 303-335, 2004
1832004
Barrier options and touch-and-out options under regular LÚvy processes of exponential type
S Boyarchenko, S Levendorskiĭ
The Annals of Applied Probability 12 (4), 1261-1298, 2002
1822002
Feller processes of normal inverse Gaussian type
OE Barndorff-Nielsen, SZ Levendorskii
Quantitative Finance 1 (3), 318, 2001
1802001
Fast and accurate pricing of barrier options under LÚvy processes
O Kudryavtsev, S Levendorskiǐ
Finance and Stochastics 13 (4), 531-562, 2009
1212009
Irreversible decisions under uncertainty: optimal stopping made easy
S Boyarchenko, S Levendorskii
Springer Science & Business Media, 2007
1202007
On the structure of spectra of periodic elliptic operators
P Kuchment, S Levendorskiţ
Transactions of the American Mathematical Society 354 (2), 537-569, 2002
862002
The quantum Weyl group and the universal quantumR-matrix for affine lie algebraA 1 (1)
S Levendorskii, Y Soibelman, V Stukopin
letters in mathematical physics 27, 253-264, 1993
721993
American options: the EPV pricing model
S Boyarchenko, S Levendorskii
Annals of Finance 1, 267-292, 2005
712005
American options in regime-switching models
S Boyarchenko, S Levendorskii
SIAM Journal on Control and Optimization 48 (3), 1353-1376, 2009
692009
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
672009
Generalizations of the Black-Scholes equation for truncated LÚvy processes
SI Boyarchenko, SZ Levendorskii
Working Paper, 1999
661999
Degenerate elliptic equations
S Levendorskii
Springer Science & Business Media, 1993
651993
The eigenfunction expansion method in multi‐factor quadratic term structure models
N Boyarchenko, S Levendorskiǐ
Mathematical finance 17 (4), 503-539, 2007
602007
Asymptotic distribution of eigenvalues of differential operators
S Levendorskiĭ
(No Title), 1990
581990
On generators and defining relations of Yangians
SZ Levendorskiǐ
Journal of Geometry and Physics 12 (1), 1-11, 1993
561993
Valuation of continuously monitored double barrier options and related securities
M Boyarchenko, S Levendorskiĭ
Mathematical Finance: An International Journal of Mathematics, Statisticsá…, 2012
532012
The system can't perform the operation now. Try again later.
Articles 1–20