Vadim Linetsky

Publications

Citations

H-Index

1989

Active since

Affiliations

P.N. Lebedev Physical Institute of the Russian Academy of Sciences(Current)

Northwestern University

Management Sciences (United States)

The University of Texas at Austin

University of Illinois Urbana-Champaign

Vadim Linetsky is an author at P.N. Lebedev Physical Institute of the Russian Academy of Sciences specializing in engineering, business, and asset pricing.

Top concepts

EngineeringBusinessFinanceAsset PricingOption PricingStochastic CalculusQuantum Field TheoryStochastic ProcessesPhysicsSpectral Theory

Publications per year

1989–2021

Publications

Pricing and Hedging Path-Dependent Options Under the CEV Process

Dmitry Davydov, Vadim Linetsky · Management Science · 2001 · 347 citations

Mathematical Programming, Option Pricing, Black-scholes Model +15

A jump to default extended CEV model: an application of Bessel processes

Peter Carr, Vadim Linetsky · Finance and Stochastics · 2006 · 242 citations

Bessel Processes, Physics, Extended Cev Model +7

Spectral Expansions for Asian (Average Price) Options

Vadim Linetsky · Operations Research · 2004 · 238 citations

Spectral Theory, Option Pricing, Spectral Expansions +14

PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH

Liming Feng, Vadim Linetsky · Mathematical Finance · 2008 · 205 citations

Option Pricing, Fourier Transform, Engineering +14

THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE

Vadim Linetsky · International Journal of Theoretical and Applied Finance · 2004 · 169 citations

Spectral Theory, Mathematical Programming, Option Pricing +14

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