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A fast Fourier transform technique for pricing American options under stochastic volatility

Full text - MIT Libraries
O Zhylyevskyy - Review of Derivatives Research, 2010 - Springer
Abstract This paper develops a non-finite-difference-based method of American option
pricing under stochastic volatility by extending the Geske-Johnson compound option
scheme. The characteristic function of the underlying state vector is inverted to obtain the ...
Cited by 9 - Related articles - All 9 versions

[PDF] Pricing American-style derivatives under the Heston model dynamics: A Fast Fourier Transformation in the Geske-Johnson scheme

[PDF] from repec.org
O Zhylyevskyy - Computing in economics and finance, Society for …, 2005 - repec.org
Theoretical research on option valuation tends to focus on pricing the plain%vanilla
European%style derivatives. Duffi e, Pan, and Singleton (2000) have recently developed a general
transform method to determine the value of European options for a broad class of the ...
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[CITATION] A Bad Peace or a Good War: A Structural Model of Marital Conflict

O Zhylyevskyy - 2008 - Ph. D. dissertation, University of …
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A bad peace or a good war: A structural estimation model of spousal conflict and divorce

O Zhylyevskyy - 2009 - gradworks.umi.com
Abstract: The optimal balance between keeping marriages intact, despite sustained conflict,
or allowing for divorce continues to be a subject of policy debate, even after years of
changes to divorce laws. To understand the tradeoffs, I construct a structural game ...
Cited by 1 - Related articles - Cached - Library Search - All 2 versions

[CITATION] Impact of Idiosyncratic Volatility on Stock Returns: A Cross-Sectional Study

S Khovansky… - 2012

[PDF] Assessing the Welfare Costs of the AvtoZAZ-DAEWOO Automobile Agreement

[PDF] from duke.edu
G Ellis, N Khmilevska… - econ.duke.edu
Abstract The automobile pact between AvtoZAZ and the Ukrainian government, on the one
hand, and DAEWOO, on the other, is examined to determine how the social welfare costs
might be measured and what those costs, roughly put, might be. The study explores the ...
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[PDF] Efficient Pricing of European-Style Options under Heston's Stochastic Volatility Model

[PDF] from scirp.org
O Zhylyevskyy - Journal of Biophysical Chemistry, 2012 - scirp.org
ABSTRACT Heston's stochastic volatility model is frequently employed by finance
researchers and practitioners. Fast pricing of European-style options in this setting has
considerable practical significance. This paper derives a computationally efficient formula ...
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The paradox of interest rates of the Greenback Era: A reexamination

Full text - MIT Libraries
O Zhylyevskyy - Journal of Monetary Economics, 2010 - Elsevier
The two leading explanations for the counterintuitive behavior of interest rates during the
Greenback Era (1862–1878)–the resumption expectations model of Calomiris (1988) and
the capital flow argument of Friedman and Schwartz (1963)–are inconsistent with each ...
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[CITATION] DETERMINANTS OF REGIONAL ECONOMIC GROWTH IN UKRAINE

V Tsyrennikov…
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[CITATION] What Can We Learn from a Cross-Section of Returns? An Investigation of Idiosyncratic Volatility Range

S Khovansky… - Staff General Research …, 2011 - econpapers.repec.org
By Serguey Khovansky and Oleksandr Zhylyevskyy; What Can We Learn from a Cross-Section
of Returns? An Investigation of Idiosyncratic Volatility Range. ... An Investigation of Idiosyncratic
Volatility Range. Serguey Khovansky and Oleksandr Zhylyevskyy. ...
Cached - All 3 versions

[PDF] HUMAN CAPITAL ALLOCATION IN THE TRANSITIONAL ECONOMIES OF UKRAINE AND RUSSIA

[PDF] from kse.org.ua
Z Oleksandr - 2002 - kse.org.ua
Education is primarily an investment good. Once highly questioned, this statement has by
the end of the twentieth century won almost unequivocal recognition from the laity. At the
same time, human capital theory, which focuses on investment into various skills and ...
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[PDF] Estimating Idiosyncratic Volatility and Its Effects on a Cross-Section of Returns

[PDF] from iastate.edu
S Khovansky… - 2012 - econ.iastate.edu
Abstract We apply a new econometric method—the generalized method of moments under a
common shock—to estimate idiosyncratic volatility premium and average idiosyncratic stock
volatility. In contrast to the popular two-pass estimation approach of Fama and MacBeth ( ...
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[BOOK] Effects of Family, Friends, and Relative Prices on Fruit and Vegetable Consumption by African American Youths

[PDF] from iastate.edu
O Zhylyevskyy… - 2010 - card.iastate.edu
Abstract Facilitating healthy eating among young people, particularly among minorities who
are at high risk for gaining excess weight, is at the forefront of the current policy discussions
in the US We investigate the effects of social interactions and relative prices on fruit and ...
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