← All authors Svetlana Boyarchenko The University of Texas at Austin (per OpenAlex) · ORCID · OpenAlex
44 papers in scope · 43 published · 1 on the econ.EM arXiv · 1,242 citations · h-index 17 (over the papers listed here)
Papers (1 of 44)
Lévy models amenable to efficient calculations
published 2025 · Stochastic Processes and their Applications · 3 citations · first circulated 2022
Efficient evaluation of expectations of functions of a Lévy process and its extremum
published 2025 · Finance and Stochastics · 3 citations · first circulated 2022
Efficient inverse $ Z $ -transform and pricing barrier and lookback options with discrete monitoring
published 2025 · Frontiers of Mathematical Finance · 4 citations · first circulated 2022
Supermodularity and incentive reversal in teams
published 2024 · Games and Economic Behavior · 5 citations
with Dominika Machowska, Iryna Topolyan
EFFICIENT EVALUATION OF DOUBLE-BARRIER OPTIONS
published 2024 · International Journal of Theoretical and Applied Finance · 7 citations · first circulated 2022
Faster than FFT: Conformal accelerations method
published 2024 · IFAC-PapersOnLine · 1 citations
working paper 2023 · arXiv · 2 citations
SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS
published 2021 · International Journal of Theoretical and Applied Finance · 10 citations
Inefficiency of sponsored research
published 2021 · Journal of Mathematical Economics · 1 citations
Conformal Accelerations Method and Efficient Evaluation of Stable Distributions
published 2020 · Acta Applicandae Mathematicae · 18 citations · first circulated 2018
Industry equilibrium with random exit or default
published 2019 · Journal of Public Economic Theory · 3 citations · first circulated 2006
with Piin-Hueih Chiang
Super-and submodularity of stopping games with random observations
published 2019 · Economic Theory · 11 citations
SINH-ACCELERATION: EFFICIENT EVALUATION OF PROBABILITY DISTRIBUTIONS, OPTION PRICING, AND MONTE CARLO SIMULATIONS
published 2019 · International Journal of Theoretical and Applied Finance · 27 citations · first circulated 2018
Static and Semi-Static Hedging as Contrarian or Conformist Bets
published 2019 · Mathematical Finance · 15 citations
Optimal Stopping Problems in Lévy Models with Random Observations
published 2018 · Acta Applicandae Mathematicae · 3 citations
EFFICIENT PRICING OF BARRIER OPTIONS AND CREDIT DEFAULT SWAPS IN LÉVY MODELS WITH STOCHASTIC INTEREST RATE
published 2016 · Mathematical Finance · 24 citations
Efficient variations of the Fourier transform in applications to option pricing
published 2014 · The Journal of Computational Finance · 19 citations
Preemption games under Lévy uncertainty
published 2014 · Games and Economic Behavior · 24 citations · first circulated 2011
EFFICIENT LAPLACE INVERSION, WIENER-HOPF FACTORIZATION AND PRICING LOOKBACKS
published 2013 · International Journal of Theoretical and Applied Finance · 43 citations · first circulated 2012
Fast pricing and calculation of sensitivities of out-of-the-money European options under Lévy processes
published 2012 · The Journal of Computational Finance · 12 citations · first circulated 2002
American Options in the Heston Model with Stochastic Interest Rate and Its Generalizations
published 2012 · Applied Mathematical Finance · 27 citations · first circulated 2007
DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION MODELS
published 2011 · International Journal of Theoretical and Applied Finance · 34 citations · first circulated 2009
with Mitya Boyarchenko
Optimal Stopping in Lévy Models for Nonmonotone Discontinuous Payoffs
published 2011 · 1 citations
American options in Lévy models with stochastic interest rates
published 2009 · 57 citations · first circulated 2006
Carr's randomization for American options in regime‐switching models
published 2007 · PAMM · 1 citations
Exit problems in regime-switching models
published 2007 · Journal of Mathematical Economics · 29 citations · first circulated 2006
PRACTICAL GUIDE TO REAL OPTIONS IN DISCRETE TIME*
published 2007 · International Economic Review · 23 citations · first circulated 2004
Optimal stopping made easy
published 2007 · Journal of Mathematical Economics · 17 citations · first circulated 2004
General Option Exercise Rules, with Applications to Embedded Options and Monopolistic Expansion
published 2006 · Contributions in Theoretical Economics · 33 citations · first circulated 2005
American options: the EPV pricing model
published 2005 · Annals of Finance · 8 citations · first circulated 2004
Discount factors ex post and ex ante, and discounted utility anomalies
published 2005 · Économie publique/Public economics · 4 citations
Irreversible Decisions and Record-Setting News Principles
published 2004 · American Economic Review · 76 citations
Real options and the universal bad news principle
published 2004 · Fainansu · 3 citations
Arrow's equivalency theorem in a model with neoclassical firms
published 2003 · Economic Theory · 3 citations · first circulated 2001
Pricing of perpetual Bermudan options
published 2002 · Quantitative Finance · 29 citations
Barrier options and touch-and-out options under regular Lévy processes of exponential type
published 2002 · The Annals of Applied Probability · 155 citations
Perpetual American Options Under Lévy Processes
published 2002 · 197 citations
Elements of calculus of pseudodifferential operators
published 2002 · World Scientific Book Chapters
no link
Endogenous default and pricing of the corporate debt
published 2002 · World Scientific Book Chapters
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Pricing and hedging of contingent claims of European type
published 2002 · World Scientific Book Chapters
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Investment under uncertainty and capital accumulation
published 2002 · World Scientific Book Chapters
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Perpetual American options
published 2002 · World Scientific Book Chapters
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Option Pricing and Hedging Under Regular Lévy Processes of Exponential Type
published 2001 · Mathematical Finance · 6 citations
OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
published 2000 · International Journal of Theoretical and Applied Finance · 304 citations
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
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