Concepedia

Sergei Levendorskiı̌

SL

52

Publications

1.8K

Citations

24

H-Index

2000

Active since

Affiliations

The University of Texas at Austin(Current)

BioSciCon (United States)

University of Leicester

University of Michigan

Rostov State University of Economics

Sergei Levendorskiı̌ is an author at The University of Texas at Austin specializing in option pricing, asset pricing, and business.

Top concepts

Option PricingAsset PricingBusinessEngineeringFinanceStochastic CalculusStochastic ProcessesEconomicsProbabilityApproximation Theory

Publications per year

2000–2021

52

Publications

52

OPTION PRICING FOR TRUNCATED LÉVY PROCESSES

Svetlana Boyarchenko, Sergei Levendorskiı̌ · International Journal of Theoretical and Applied Finance · 2000 · 302 citations

Option Pricing, Engineering, Asset Pricing +11

Barrier options and touch-and-out options under regular Lévy processes of exponential type

Svetlana Boyarchenko, Sergei Levendorskiı̌ · The Annals of Applied Probability · 2002 · 155 citations

Option Pricing, Asset Pricing, Physics +15

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

PRICES AND SENSITIVITIES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS

Mitya Boyarchenko, Sergei Levendorskiı̌ · International Journal of Theoretical and Applied Finance · 2009 · 66 citations

Economics, Option Pricing, Dynamic Pricing +13

THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS

Nina Boyarchenko, Sergei Levendorskiı̌ · Mathematical Finance · 2007 · 64 citations · Full text

Numerical Analysis, Spectral Theory, Option Pricing +10

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