Concepedia

Oleg Kudryavtsev

OK

9

Publications

215

Citations

9

H-Index

2005

Active since

Affiliations

Russian Customs Academy(Current)

Southern Federal University

Oleg Kudryavtsev is an author at Russian Customs Academy specializing in option pricing, asset pricing, and business.

Top concepts

BusinessAsset PricingOption PricingEngineeringStochastic CalculusProbabilityJump DiffusionsStatisticsNumerical AnalysisEconomic Analysis

Publications per year

2005–2019

9

Publications

9

Fast and accurate pricing of barrier options under Lévy processes

Oleg Kudryavtsev, Sergei Levendorskiı̌ · Finance and Stochastics · 2009 · 93 citations

Option Pricing, Asset Pricing, Derivative Pricing +4

PRICING OF FIRST TOUCH DIGITALS UNDER NORMAL INVERSE GAUSSIAN PROCESSES

Oleg Kudryavtsev, Sergei Levendorskiı̌ · International Journal of Theoretical and Applied Finance · 2006 · 21 citations

Option Pricing, Normal Inverse Gaussian, Asset Pricing +12

Fast and Accurate Pricing of Barrier Options Under Levy Processes

Oleg Kudryavtsev, Sergei Levendorskiı̌ · SSRN Electronic Journal · 2007 · 18 citations · Full text

The relative efficiency of numerical methods for pricing American options under Lévy processes

Sergei Levendorskio, Oleg Kudryavtsev, Vadim M. Zherder · The Journal of Computational Finance · 2005 · 16 citations

Numerical Analysis, Engineering, Lévy Processes +16

Finite Difference Methods for Option Pricing under Lévy Processes: Wiener‐Hopf Factorization Approach

Oleg Kudryavtsev · The Scientific World JOURNAL · 2013 · 15 citations · Full text

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