Svetlana Boyarchenko

University of Texas at Austin - Department of Economics

Austin, TX 78712

United States

  • University of Texas at Austin - Department of Economics

SCHOLARLY PAPERS

46

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40

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147

Scholarly Papers (46)

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1.

American Options in the Heston Model With Stochastic Interest Rate

EFA 2008 Athens Meetings Paper
Number of pages: 22 Posted: 20 Nov 2007
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 1,094 (23,223)
Citation 5

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Optimal stopping, American options, regime switching,stochastic volatility models, Heston model,stochastic interest rate, CIR process

2.

Practical Guide to Real Options in Discrete Time

Downloads 703 ( 43,174)
Citation 18

Practical Guide to Real Options in Discrete Time

Number of pages: 28 Posted: 06 Mar 2004
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 675 (44,941)
Citation 8

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Real options, embedded options, expected present value operators

Practical Guide to Real Options in Discrete Time

International Economic Review, Vol. 48, No. 1, pp. 311-342, February 2007
Number of pages: 32 Posted: 08 Feb 2007
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 28 (572,986)
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3.

User's Guide to Pricing Double Barrier Options. Part I: Kou's Model and Generalizations

Number of pages: 35 Posted: 23 Sep 2008
Mitya Boyarchenko and Svetlana Boyarchenko
University of Michigan - Department of Mathematics and University of Texas at Austin - Department of Economics
Downloads 584 (55,076)
Citation 9

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Option pricing, double barrier options, double-no-touch options, Levy processes, Kou's model, hyper-exponential jump-diffusions, Carr's randomization, Canadization, Wiener-Hopf factorization

4.

American Options in Regime-Switching Models

Number of pages: 36 Posted: 11 Sep 2006
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 574 (56,265)
Citation 11

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optimal stopping, American options, finite time horizon, regime switching, Levy processes, stochastic volatility models, stochastic interest rate models

5.

Optimal Stopping Made Easy

Number of pages: 19 Posted: 29 Oct 2004
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 555 (58,667)
Citation 4

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Real options, random walks on lattices, expected present value operators

6.

American Options in Levy Models with Stochastic Volatility

Number of pages: 36 Posted: 20 Nov 2007 Last Revised: 12 May 2008
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 453 (75,538)
Citation 5

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optimal stopping, American options, regime switching, Levy processes, stochastic volatility models, Heston model, Bates model

7.

New Efficient Versions of Fourier Transform Method in Applications to Option Pricing

Number of pages: 64 Posted: 24 May 2011 Last Revised: 06 Jun 2011
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 451 (75,938)
Citation 14

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European Options, Greeks, FFT, Inverse Fourier Transform, COS, CONV, KoBoL, CGMY, VG Model, Hyperbolic iFT Method, Parabolic iFT Method

8.

Practical Guide to Real Options in Discrete Time Ii

Number of pages: 28 Posted: 04 Jan 2005
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 342 (104,524)
Citation 1

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Real options, embedded options, expected present value operators

9.

Exit Problems in Regime-Switching Models

Number of pages: 29 Posted: 08 Jun 2006
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 323 (111,423)
Citation 2

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regime switching, Levy processes, real options, exit problems

10.

Snowball Effect of a CDS Market

Number of pages: 27 Posted: 31 Jul 2009
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 307 (117,649)

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credit default swaps, counterparty risk, asymmetric information

11.

Perpetual American Options in Regime-Switching Models

Number of pages: 27 Posted: 06 Sep 2006
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 292 (124,076)
Citation 5

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optimal stopping, American options, regime switching, Levy processes, stochastic volatility models, stochastic interest rate models

12.

American Options: The Epv Pricing Model

Number of pages: 19 Posted: 19 May 2004
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 281 (129,162)
Citation 12

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Levy processes, option pricing, dividend paying assets

13.

American Options in Lévy Models with Stochastic Interest Rates

Number of pages: 31 Posted: 20 Sep 2007
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 273 (133,161)
Citation 4

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optimal stopping, American options, regime switching, Lévy processes, stochastic interest rate models, quadratic term structure models

14.

Double Barrier Options in Regime-Switching Hyper-Exponential Jump-Diffusion Models

Number of pages: 39 Posted: 31 Jul 2009 Last Revised: 10 Aug 2009
Mitya Boyarchenko and Svetlana Boyarchenko
University of Michigan - Department of Mathematics and University of Texas at Austin - Department of Economics
Downloads 250 (145,559)
Citation 2

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Option pricing, double barrier options, double-no-touch options, Levy processes, Kou's model, hyper-exponential jump-diffusions, regime switching, stochastic volatility, stochastic interest rates, Carr's randomization, Canadization, analytic method of lines, Wiener-Hopf factorization

15.

Efficient Laplace Inversion, Wiener-Hopf Factorization and Pricing Lookbacks

Number of pages: 36 Posted: 04 Jan 2012
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 237 (153,334)
Citation 3

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Levy processes, Wiener-Hopf factorization, lookbacks, KoBoL, CGMY

16.

American Options in Levy Models With Stochastic Interest Rate of CIR-Type

Number of pages: 37 Posted: 27 Nov 2007
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 235 (154,584)
Citation 5

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optimal stopping, American options, regime switching, Levy processes, stochastic interest rate, CIR model

17.

American Options in Regime-Switching Lévy Models With Non-Semibounded Stochastic Interest Rates

Number of pages: 6 Posted: 20 Sep 2007
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 225 (161,201)
Citation 7

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optimal stopping, American options, regime switching, Lévy processes, stochastic interest rate models, Vasicek model, Black's model, Ornstein-Uhlenbeck driven models, affine term structure models

18.

A Theory of Endogenous Time Preference, and Discounted Utility Anomalies

Number of pages: 33 Posted: 20 Feb 2005
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 212 (170,498)

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Time preference, discounted utility anomalies, decision-making under uncertainty, optimal stopping

19.

Real Options and the Universal Bad News Principle

Number of pages: 34 Posted: 04 May 2004
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 206 (175,210)
Citation 2

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Exit and entry, emdebbed options, technology adoption, capital expansion

20.

Pricing American Options in Regime-Switching Models: FFT Realization

Number of pages: 23 Posted: 01 May 2008 Last Revised: 29 Jul 2008
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 199 (180,882)

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optimal stopping, American options, finite time horizon, regime switching, Levy models, stochastic volatility models, stochastic interest rate models

21.

Perpetual Put-Like and Call-Like American Options Under Levy Processes, and Incremental Capital Expansion

Number of pages: 17 Posted: 06 Mar 2004
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 197 (182,568)
Citation 5

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Levy processes, optimal stopping, general payoffs

22.

Buridan's Ass and a Menu of Options

Number of pages: 23 Posted: 05 Feb 2005
Svetlana Boyarchenko
University of Texas at Austin - Department of Economics
Downloads 179 (198,883)
Citation 2

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Real options, menu of options

23.

Two-Point Boundary Problems and Perpetual American Strangles in Jump-Diffusion Models

Number of pages: 24 Posted: 20 Apr 2006
Svetlana Boyarchenko
University of Texas at Austin - Department of Economics
Downloads 170 (208,021)
Citation 7

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strangles, barrier options, jump-diffusion processes, two-point boundary problem

24.

General Option Exercise Rules, with Applications to Embedded Options and Monopolistic Expansion

Number of pages: 40 Posted: 02 Nov 2005
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 145 (237,295)
Citation 4

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embedded options, technology adoption, capital expansion

25.

Universal Bad News Principle and Pricing of Options on Dividend-Paying Assets

Number of pages: 24 Posted: 19 Mar 2004
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 133 (254,353)
Citation 1

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Levy processes, option pricing, dividend paying assets

26.

Discount Factors Ex Post and Ex Ante, and Discounted Utility Anomalies

Number of pages: 35 Posted: 04 Nov 2005
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 131 (257,264)
Citation 4

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real options, time preference, discounted utility anomalies

27.

Preemption Games Under Levy Uncertainty

Downloads 110 (292,092)
Citation 8

Preemption Games Under Levy Uncertainty

Number of pages: 47 Posted: 15 May 2011
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 81 (358,884)
Citation 2

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stopping time games, preemption, Levy uncertainty

Preemption Games Under Levy Uncertainty

Games and Economic Behavior, Forthcoming
Number of pages: 41 Posted: 23 Oct 2014
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 29 (566,679)
Citation 2

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stopping time games, preemption, Levy uncertainty

28.

Efficient Pricing Barrier Options and CDS in Lévy Models with Stochastic Interest Rate

Number of pages: 29 Posted: 02 Jan 2015 Last Revised: 06 Dec 2015
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 104 (303,648)
Citation 1

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Stochastic interest rate, quadratic term structure models, L'evy processes, Wiener-Hopf factorization, barrier options, credit default swaps, parabolic inverse Laplace transform, parabolic inverse Fourier transform, quanto CDS

29.

Optimal Stopping in Levy Models, for Non-Monotone Discontinuous Payoffs

Number of pages: 24 Posted: 08 Sep 2010
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 102 (307,674)
Citation 1

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Optimal stopping, Levy processes, non-monotone an discontinuous payoffs

30.

Discounting When Income is Stochastic and Discounted Utility Anomalies

Number of pages: 24 Posted: 22 Mar 2010 Last Revised: 06 Apr 2010
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 95 (322,202)

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time preference, discounted utility anomalies

31.

Discount Factors Ex Post and Ex Ante, and Discounted Utility Anomalies II

Number of pages: 15 Posted: 14 Jan 2009
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 94 (324,380)

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hyperbolic discounting, bid-ask asymmetry, gain-loss asymmetries

32.

Firm Dynamics in a Competitive Industry

Number of pages: 33 Posted: 06 Jun 2006
Svetlana Boyarchenko
University of Texas at Austin - Department of Economics
Downloads 92 (328,843)
Citation 1

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Exit and entry, size distribution, age distribution, industry dynamics

33.

Ambiguous Jump-Diffusions and Optimal Stopping

Number of pages: 41 Posted: 24 Oct 2014
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 87 (340,563)

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optimal stopping, jump-diffusion process, ambiguity

34.

Industry Equilibrium with Random Exit or Default

Number of pages: 29 Posted: 18 May 2006
Svetlana Boyarchenko
University of Texas at Austin - Department of Economics
Downloads 85 (345,458)

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endogenous exit, endogenous default, industry equilibrium

35.

Poisson Bandits of Evolving Shade of Gray

Number of pages: 44 Posted: 24 Aug 2015
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 70 (385,978)
Citation 2

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two-armed Poisson bandits, optimal stopping, jump-diffusion processes

36.

Strategic Experimentation with Erlang Bandits

Number of pages: 48 Posted: 17 Apr 2017
Svetlana Boyarchenko
University of Texas at Austin - Department of Economics
Downloads 53 (442,869)
Citation 2

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stopping time games, Erlang distribution, strategic experimentation

37.

Sinh-Acceleration: Efficient Evaluation of Probability Distributions, Option Pricing, and Monte-Carlo Simulations

Number of pages: 39 Posted: 05 Mar 2018 Last Revised: 09 May 2018
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 47 (466,154)
Citation 4

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sinh-regular Lévy processes, sinh-regular distributions, sinh-acceleration, Heston model, KoBoL, CGMY, CIR, CIR subordinator, Monte-Carlo simulations

38.

Perpetual American Options with Disconnected Exercise Regions in Lévy Models

Number of pages: 23 Posted: 29 Jul 2014
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 42 (487,559)

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Lévy processes, perpetual American options with additional barrier, perpetual straddles and strangles, Wiener-Hopf factorization, EPV operators

39.

Strategic Experimentation With Humped Bandits

Number of pages: 33 Posted: 18 May 2018
Svetlana Boyarchenko
University of Texas at Austin - Department of Economics
Downloads 37 (510,327)
Citation 2

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Stopping Time Games, Time-Inhomogeneous Poisson Process, Strategic Experimentation, Breakdowns, Breakthroughs

40.

Static and Semi-Static Hedging as Contrarian or Conformist Bets

Number of pages: 65 Posted: 14 Feb 2019
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 23 (588,730)
Citation 1

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Static Hedging, Semi-Static Hedging, Levy Processes, Exotic European Options, Barrier Options, Wiener-Hopf Factorization, Fourier-Laplace Inversion, Sinh-Acceleration

41.

New Families of Integral Representations and Efficient Evaluation of Stable Distributions

Number of pages: 52 Posted: 16 May 2018
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 21 (601,891)
Citation 2

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Stable Lévy Processes, PDF, CPDF, Quantile, Conformal Principal Components, Sinh-Acceleration, Simplified Trapezoid Rule, Simplified Conic Trapezoid Rule, Richardson Extrapolation, Signal Processing

42.

Gauge Transformations in the Dual Space, and Pricing and Estimation in the Long Run in Affine Jump-Diffusion Models

Number of pages: 23 Posted: 13 Jan 2020 Last Revised: 26 Mar 2021
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 18 (621,970)

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affine jump-diffusions, eigenfunction expansion, long run, estimation, Ornstein-Uhlenbeck model, Vasicek model, square root model, CIR model

43.

Strategic Exit With Information and Payoff Externalities

Number of pages: 38 Posted: 03 Jun 2019
Svetlana Boyarchenko
University of Texas at Austin - Department of Economics
Downloads 18 (621,970)

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stopping time games, sponsored research, strategic experimentation

44.

Conformal Accelerations Method and Efficient Evaluation of Stable Distributions

Number of pages: 26 Posted: 24 Jul 2018 Last Revised: 13 Aug 2018
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 11 (672,023)
Citation 1

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Stable Levy Processes, Monte Carlo Simulations, Conformal Principal Components, Sinh-Acceleration, Simplified Trapezoid Rule, Simplified Conic Trapezoid Rule, Richardson Extrapolation, Signal Processing

45.

Efficient Pricing of Barrier Options and Credit Default Swaps in Lévy Models with Stochastic Interest Rate

Mathematical Finance, Vol. 27, Issue 4, pp. 1089-1123, 2017
Number of pages: 35 Posted: 19 Sep 2017
Svetlana Boyarchenko and Sergei Levendorskiĭ
University of Texas at Austin - Department of Economics and University of Leicester
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stochastic interest rate, quadratic term structure models, Lévy processes, Wiener‐Hopf factorization, barrier options, credit default swaps, parabolic inverse Laplace transform, parabolic inverse Fourier transform, quanto CDS

46.

Efficient Variations of the Fourier Transform in Applications to Option Pricing

Journal of Computational Finance, Vol. 18, No. 2, 2014
Number of pages: 34 Posted: 04 Jun 2016
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and University of Leicester
Downloads 0 (773,300)
Citation 1
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Fourier expansion, option pricing, iFT method