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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
5402002
Option pricing for truncated LÚvy processes
SI Boyarchenko, SZ Levendorskiǐ
International journal of theoretical and applied finance 3 (03), 549-552, 2000
3082000
Perpetual American options under LÚvy processes
SI Boyarchenko, SZ Levendorskii
SIAM Journal on Control and Optimization 40 (6), 1663-1696, 2002
2302002
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
1971991
Pricing of the American put under LÚvy processes
SZ Levendorskiǐ
International Journal of Theoretical and Applied Finance 7 (03), 303-335, 2004
1712004
Feller processes of normal inverse Gaussian type
OE Barndorff-Nielsen, SZ Levendorskii
Quantitative Finance 1 (3), 318, 2001
1692001
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
1682002
Fast and accurate pricing of barrier options under LÚvy processes
O Kudryavtsev, S Levendorskiǐ
Finance and Stochastics 13 (4), 531-562, 2009
1152009
Irreversible decisions under uncertainty: optimal stopping made easy
S Boyarchenko, S Levendorskii
Springer Science & Business Media, 2007
1092007
On the structure of spectra of periodic elliptic operators
P Kuchment, S Levendorskiţ
Transactions of the American Mathematical Society 354 (2), 537-569, 2002
802002
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 (4), 253-264, 1993
691993
American options: the EPV pricing model
S Boyarchenko, S Levendorskii
Annals of Finance 1 (3), 267-292, 2005
662005
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
622009
Asymptotic distribution of eigenvalues of differential operators
S Levendorskij
Kluwer Academic Publishers, 1990
621990
Generalizations of the Black-Scholes equation for truncated LÚvy processes
SI Boyarchenko, SZ Levendorskii
Working Paper, 1999
611999
Degenerate elliptic equations
S Levendorskii
Springer Science & Business Media, 1993
611993
The eigenfunction expansion method in multi‐factor quadratic term structure models
N Boyarchenko, S Levendorskiǐ
Mathematical finance 17 (4), 503-539, 2007
602007
American options in regime-switching models
S Boyarchenko, S Levendorskii
SIAM Journal on Control and Optimization 48 (3), 1353-1376, 2009
592009
Early exercise boundary and option prices in LÚvy driven models
SZ Levendorskiǐ
Quantitative Finance 4 (5), 525-547, 2004
552004
Efficient pricing and reliable calibration in the Heston model
S Levendorskiĭ
International Journal of Theoretical and Applied Finance 15 (07), 1250050, 2012
472012
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