no code implementations • 26 Jul 2023 • Andrey Itkin, Dmitry Muravey
Semi-analytical pricing of American options in a time-dependent Ornstein-Uhlenbeck model was presented in [Carr, Itkin, 2020].
no code implementations • 2 Dec 2021 • Andrey Itkin, Alexander Lipton, Dmitry Muravey
By expanding the Dirac delta function in terms of the eigenfunctions of the corresponding Sturm-Liouville problem, we construct some new (oscillating) integral transforms.
no code implementations • 5 Sep 2021 • Andrey Itkin, Dmitry Muravey
We extend the approach of Carr, Itkin and Muravey, 2021 for getting semi-analytical prices of barrier options for the time-dependent Heston model with time-dependent barriers by applying it to the so-called $\lambda$-SABR stochastic volatility model.
no code implementations • 20 Sep 2020 • Andrey Itkin, Dmitry Muravey
We continue a series of papers devoted to construction of semi-analytic solutions for barrier options.
no code implementations • 11 May 2020 • Peter Carr, Andrey Itkin, Dmitry Muravey
The second one is the method of generalized integral transform, which is also extended to the Bessel process.
no code implementations • 20 Apr 2020 • Andrey Itkin, Dmitry Muravey
In this paper we derive semi-closed form prices of barrier (perhaps, time-dependent) options for the Hull-White model, ie., where the underlying follows a time-dependent OU process with a mean-reverting drift.
