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[BOOK] Non-Gaussian Merton-Black-Scholes Theory

SI Boyarchenko… - 2002 - worldscientific.com
NON-GAUSSIAN MERTON-BLACK-SCHOLES THEORY,
Svetlana I Boyarchenko, Sergei Z Levendorskii,.
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Irreversible decisions and record-setting news principles

Full text - MIT Libraries
S Boyarchenko - The American Economic Review, 2004 - ingentaconnect.com
Abstract: In the now-classical real options theory, the price of an underlying asset is modeled
as a geometric Brownian motion, and optimal exercise strategies are described by simple
explicit formulas. This paper extends the classical theory to allow any geometric Levy ...
Cited by 51 - Related articles - BL Direct - All 9 versions

[BOOK] Irreversible Decisions Under Uncertainty

[PDF] from archinform.net
S Boyarchenko, S Levendorskii… - 2007 - toc.archinform.net
2.1 Basic examples 17 2.1. 1 Investment problem; two scenarios of the future 17 2.1. 2
Investment problem as an American call option 20 2.1. 3 Exit or option to abandon a stream
21 2.1. 4 Exit as an American put option.. 22 2.2 Expected present value of a stream 22 ...
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American options: the EPV pricing model

[PDF] from 129.3.20.41
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S Boyarchenko… - Annals of Finance, 2005 - Springer
Summary We explicitly solve the pricing problem for perpetual American puts and calls, and
provide an efficient semi-explicit pricing procedure for options with finite time horizon.
Contrary to the standard approach, which uses the price process as a primitive, we model ...
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[CITATION] Option pricing for truncated Lévy processes

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SI Boyarchenko… - International Journal of Theoretical …, 2000 - elibrary.ru
Поиск в библиотеке, Расширенный поиск. ...
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General option exercise rules, with applications to embedded options and monopolistic expansion

[PDF] from repec.org
S Boyarchenko… - 2005 - papers.ssrn.com
Abstract: This paper provides a general framework for pricing of real options in continuous
time for wide classes of payoff streams that are functions of Levy processes. As applications,
we calculate the option values of multi-stage investment/disinvestment problems ( ...
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PRACTICAL GUIDE TO REAL OPTIONS IN DISCRETE TIME*

[PDF] from 129.3.20.41
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S Boyarchenko… - International Economic …, 2007 - Wiley Online Library
Continuous time models in the theory of real options give explicit formulas for optimal
exercise strategies when options are simple and the price of an underlying asset follows a
geometric Brownian motion. This article suggests a general, computationally simple ...
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Exit problems in regime-switching models

S Boyarchenko… - Journal of Mathematical Economics, 2008 - Elsevier
This paper provides a general framework for pricing of perpetual American and real options
in regime-switching Lévy models. In each state of the Markov chain, which determines
switches from one Lévy process to another, the payoff stream is a monotone function of ...
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American options in regime-switching Lévy models with non-semibounded stochastic interest rates

[PDF] from ntnu.no
S Boyarchenko… - … Control Conference, 2008, 2008 - ieeexplore.ieee.org
Abstract A general numerical method for pricing American options in regime-switching jump-
diffusion models of stock dynamics with stochastic interest rates and/or volatility is
developed. Time derivative and infinitesimal generator of the process for factors that ...
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[CITATION] Entry and exit strategies under Non-Gaussian distributions

SI Boyarchenko… - Project flexibility, agency and competition, 2000
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[PDF] Endogeneous Default under Levy Processes

[PDF] from upenn.edu
S Boyarchenko - 2000 - ssc.upenn.edu
Abstract. We explicitly solve the problem of endogenous default in Leland (1994) setting, for
a firm which assets follow a regular Léevy process. The formula for the endogenous default
boundary is formulated in terms of the infimum process for the process of the assets of the ...
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Option pricing and hedging under regular Lévy processes of exponential type

SI Boyarchenko… - Trends in Mathematics. …, 2001 - books.google.com
Page 123. Trends in Mathematics,© 2001 Birkhauser Verlag Basel/Switzerland Option
Pricing and Hedging Under Regular Levy Processes of Exponential Type Svetlana
I. Boyarchenko and Sergei Z. Levendorskii Abstract. We ...
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American options: The EPV pricing model

S Boyarchenko… - Finance, 2004 - ideas.repec.org
We explicitly solve the pricing problem for perpetual American puts and calls, and provide
an efficient semi-explicit pricing procedure for options with finite time horizon. Contrary to the
standard approach, which uses the price process as a primitive, we model the price ...
Cited by 6 - Related articles - Cached - Get it from MIT Libraries - All 4 versions

Discount factors ex post and ex ante, and discounted utility anomalies

[PDF] from 129.3.20.41
S Boyarchenko… - 2005 - papers.ssrn.com
Abstract: The real options approach is used to explain discounted utility anomalies as
artifacts of the optimizing behavior of an individual with standard preferences, who perceives
the utility from consumption in the future as uncertain. For this individual, waiting is ...
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American options in Lévy models with stochastic volatility

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SI Boyarchenko… - November, 2007 - papers.ssrn.com
Page 1. Electronic copy available at: http://ssrn.com/abstract=1031280 AMERICAN
OPTIONS IN LÉVY MODELS WITH STOCHASTIC VOLATILITY SVETLANA
BOYARCHENKO∗ AND SERGEI LEVENDORSKII∗∗ Abstract. A ...
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American Options in Lévy Models With Stochastic Interest Rate of CIR-Type

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SI Boyarchenko… - November, 2007 - papers.ssrn.com
Page 1. Electronic copy available at: http://ssrn.com/abstract=1032716 AMERICAN
OPTIONS IN LÉVY MODELS WITH STOCHASTIC INTEREST RATE OF CIR–TYPE
SVETLANA BOYARCHENKO∗ AND SERGEI LEVENDORSKII∗∗ Abstract. ...
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[PDF] A monetary search model with heterogeneous agents

[PDF] from upenn.edu
S Boyarchenko - University of Texas at Austin, mimeo, 2000 - ssc.upenn.edu
Abstract. We generalize the standard search-theoretic model of monetary exchange by
allowing both divisible goods and general utility functions, and by introducing heterogeneity
across agents in terms of their production costs. We analyze how such factors as the ...
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Real options and the universal bad news principle

[PDF] from 129.3.20.41
S Boyarchenko… - 2004 - papers.ssrn.com
Abstract: A general framework for pricing of real options in continuous time for wide classes
of payoff streams that are monotone functions of a Levy process is provided. Exercise rules
are formulated in terms of statistics of record-setting low payoffs and can be viewed as an ...
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[BOOK] Capital accumulation under non-Gaussian processes and the Marshallian law

[PDF] from upenn.edu
S Boyarchenko… - 2001 - econ.upenn.edu
Abstract. We consider a risk-neutral, price-taking and valuemaximizing firm under demand
uncertainty. The firm chooses optimal investment strategies; the investment is irreversible.
For a wide family of non-Gaussian processes, we derive an explicit formula for the ...
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[CITATION] Irreversible Decisions under Uncertainty

Svetlana. Boyarchenko… - Springer-Verlag Berlin Heidelberg
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[CITATION] Models of investment under uncertaintly when shocks are non-Gaussian

SI Boyarchenko… - EERC/Euroasia Foundation Working Paper, 1998
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Double Barrier Options in Regime-Switching Hyper-Exponential Jump-Diffusion Models

[PDF] from le.ac.uk
M Boyarchenko… - Ann Arbor, 2009 - papers.ssrn.com
Abstract: We present a fast and accurate algorithm for calculating prices of finite lived double
barrier options with arbitrary terminal payoff functions under regime-switching hyper-
exponential jump-diffusion models, which generalize Kou's model. Extensive numerical ...
Cited by 3 - Related articles - All 8 versions

Arrow's equivalency theorem in a model with neoclassical firms

[PDF] from utexas.edu
Full text - MIT Libraries
S Boyarchenko - Economic Theory, 2004 - Springer
Summary. In this paper we consider a two-period general equilibrium model with uncertainty
and real assets as financial instruments. The novelty of the analysis is that real assets are
the stocks of neoclassical firms, so that both returns and yields depend on anticipated spot ...
Cited by 3 - Related articles - Library Search - BL Direct - All 20 versions

American options in the Heston model with stochastic interest rate

[PDF] from le.ac.uk
S Boyarchenko… - EFA 2008 Athens Meetings …, 2007 - papers.ssrn.com
Abstract: We consider the Heston model with the stochastic interest rate of the CIR type and
more general models with stochastic volatility and interest rates depending on two CIR-
factors. Time derivative and infinitesimal generator of the process for factors that ...
Cited by 3 - Related articles - All 7 versions

Firm Dynamics in a Competitive Industry

[PDF] from eea-esem.com
S Boyarchenko - 2006 - papers.ssrn.com
Abstract: The paper demonstrates that basic empirical regularities concerning the
dependence of firm dynamics on age and size can be naturally explained in a refined model
of a competitive industry in Dixit and Pindyck (1996). In our model, all equity financed firms ...
Cited by 3 - Related articles - All 2 versions

Universal bad news principle and pricing of options on dividend-paying assets

[PDF] from arxiv.org
S Boyarchenko… - 2004 - papers.ssrn.com
Abstract: We solve the pricing problem for perpetual American puts and calls on dividend-
paying assets. The dependence of a dividend process on the underlying stochastic factor is
fairly general: any non-decreasing function is admissible. The stochastic factor follows a ...
Cited by 2 - Related articles - All 11 versions

[CITATION] Non-Gaussian Merton-Black-Scholes theory World Scientific

S Boyarchenko… - 2002 - Singapore
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Preemption Games Under Levy Uncertainty

[PDF] from arizona.edu
S Boyarchenko… - 2011 - papers.ssrn.com
Abstract: We study a stochastic version of Fudenberg and Tirole's (1985) preemption game
to analyze the effects of jumps in the underlying uncertainty on equilibrium strategies. Two
firms contemplate entering a new market where the demand follows a jump-diffusion ...
Cited by 2 - Related articles - All 3 versions

User's guide to pricing double barrier options. Part I: Kou's model and generalizations

M Boyarchenko… - 2008 - papers.ssrn.com
Abstract: We present a very accurate algorithm for calculating prices of double barrier
options, together with a simple set of detailed step-by-step instructions for implementing it in
practice. Our algorithm works 5-10 times faster than any other known algorithm. At the ...
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Models of Investment under Uncertainty when Shocks are Non-Gaussian. On the Impact of the Policy Uncertainty on Investment

S Boyarchenko… - EERC Working Paper Series, 1998 - ideas.repec.org
The purpose of the study is to clarify a few possible causes for the delay in new investment
projects. It is well known that anticipation of future economic environment and prices affects
the current investment decisions of a firm. Gaussian processes are typically used to model ...
Cited by 1 - Related articles - Cached - All 3 versions

Snowball Effect of a CDS Market

S Boyarchenko… - papers.ssrn.com
Abstract: Exponential growth of credit default swaps market and the resulting pile of CDS
contracts of notional value of $62 trillion by the end of 2007 as well as the OTC nature of the
contracts are widely believed to be one of the main causes of the current crisis and its ...
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Industry equili-brium with random exit or default

[PDF] from eea-esem.com
S Boyarchenko - 2008 - papers.ssrn.com
Abstract: An industry consisting of a large number of small (fixed size) firms subject to
idiosyncratic productivity shocks is considered. At the moment of entry, a firm takes on debt.
We demonstrate that in a competitive equilibrium, some firms exit and pay out their debt ...
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A theory of endogenous time preference, and discounted utility anomalies

[PDF] from 129.3.20.41
S Boyarchenko… - 2005 - papers.ssrn.com
Abstract: We explain essentially all known discounted utility anomalies as artefacts of the
optimizing behavior of an individual with a time-separable utility function, who perceives a
good as a source of a stochastic consumption stream, and believes that she can wait for ...
Cited by 1 - Related articles - All 9 versions

Credit Risk, Credit Crunch and Capital Structure

[PDF] from eea-esem.com
S Boyarchenko - 2009 - papers.ssrn.com
Abstract: A firm partially financed by debt is considered. The firm is subject to two types of
shocks: macro-shocks modeled as a finite state Markov chain, and idiosyncratic shocks. The
dynamics of the latter may depend on the state of the macroeconomy; the state of the ...
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Discounting When Income is Stochastic and Discounted Utility Anomalies

S Boyarchenko… - 2010 - papers.ssrn.com
Abstract. Several discounted utility anomalies are explained as rational choices of an agent
with standard preferences and stochastic income. We define the term structure of absolute
risk aversion and demonstrate that the gain-loss asymmetry is observed for small gains ...
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[BOOK] A Three Sector Model of the Russian Virtual Economy

[PDF] from eerc.ru
S Boyarchenko, S Levendorskii… - 2003 - eerc.ru
The Russian economy has evolved into a hybrid form, a partially monetized quasi market
system that has been called the virtual economy. In the virtual economy, barter and non
monetary transactions play a key role in transferring value from productive activities to the ...
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Essays in financial and monetary economics

SI Boyarchenko - 2001 - repository.upenn.edu
This thesis consists of three essays in Financial and Monetary Economics. In the first essay, I
consider a two-period general equilibrium model with uncertainty and real assets as financial
instruments. The novelty of the analysis is that real assets are the stocks of neoclassical firms ...
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[BOOK] Models of Investment Under Uncertainty when Shocks are Non-gaussian: On the Impact of the Policy Uncertainty on Investment

S Levendorsky, S Boyarchenko… - 1998 - en.scientificcommons.org
Abstract S Levendorski Boyarchenko CONTENTS MODELS INVESTMENT UNDER
UNCERTAINTY WHEN SHOCKS ARE NON GAUSSIAN Introduction The Planner Problem
Irreversible Investment Entry and Exit Strategies under Non Gaussian Distributions Tobin ...
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[CITATION] Buridan's ass: rationality or naıvete?

S Boyarchenko
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Practical guide to real options in discrete time

S Levendorskiy… - Computing in Economics and …, 2004 - ideas.repec.org
Continuous time models in the theory of real options give explicit formulas for optimal
exercise strategies when options are simple and the price of an underlying asset follows a
geometric Brownian motion. This paper suggests a general, computationally simple ...
Cached - All 4 versions

A Three-Sector Model of the Russian Virtual Economy

S Agapov, S Boyarchenko… - EERC Working Paper …, 2003 - ideas.repec.org
The Russian economy has evolved into a hybrid form, a partially monetized quasi-market
system that has been called the virtual economy. In the virtual economy, barter and non-
monetary transactions play a key role in transferring value from productive activities to the ...
Cached

Discounting when income is stochastic and climate change policies

[PDF] from uni-muenchen.de
S Boyarchenko… - 2010 - mpra.ub.uni-muenchen.de
We introduce stochastic income into the standard exponential discounting model and study
dependence of effective discount rates on the type of the underlying stochastic process and
agent's current income level. If the income follows a process with iid increments effective ...
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Money Substitutes in the Russian Virtual Economy: Sources and Impact on the Economy

S Boyarchenko… - EERC Working Paper Series, 2001 - ideas.repec.org
A macroeconomic model based on search-theoretical foundations is built to show that in an
economy with structural deficiencies of the Russian Virtual Economy, money substitutes
appear as a result of optimizing behavior of agents. The result obtains for an economy, ...
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[PDF] IRREVERSIBLE DECISIONS AND THE ROLE OF RECORD SETTING PAYOFFS

[PDF] from eea-esem.com
S BOYARCHENKO - eea-esem.com
Abstract. Optimal capital budgeting is crucial for the corporate survival. About a century ago,
Marshall suggested that a firm should invest as long as the NPV of the project is non-
negative. This rule ignores the option value of investment opportunities which affects the ...
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[PDF] A discrete time model of investment un-der non-Gaussian shocks

[PDF] from maphysto.dk
S Boyarchenko… - maphysto.dk
Abstract. A discrete time model of irreversible investment is explored. The investor is a risk-
neutral, value maximizing competitive firm. The unit price of the firm's output follows a non-
Gaussian stochastic process. Under weak restrictions on the process and the firm's ...
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[PDF] INVESTMENT AND FINANCIAL DECISIONS UNDER UNCERTAINTY AND EXOGENOUS BORROWING RATE

[PDF] from psu.edu
S BOYARCHENKO, S LEVENDORSKII - Citeseer
Abstract. A competitive firm which chooses the timing of investment and optimal volume of
debt is considered. The price of the firm's output follows the geometric Brownian motion or
more general jump-diffusion processes, and the firm takes an arbitrage free borrowing ...
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[PDF] ONLINE SUPPLEMENT TO:“DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION MODELS”

[PDF] from umich.edu
M BOYARCHENKO… - math.lsa.umich.edu
Spot Knock-out double barrier put Double-no-touch option price Our price CC price Rel. Diff.
Our price CC price Rel. Diff. 83% 453.62799 453.62885-1.91 e-06 0.82617 0.82617 3.67 e-
06 84% 452.19140 452.19385-5.41 e-06 0.86818 0.86819-7.03 e-06 85% 440.42260 ...
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[CITATION] A Discrete Time Model of Investment Under Non-Gaussian Shocks

S Levendorskii, S Boyarchenko… - 2002 - MaPhySto, Department of …
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Money substitutes in the Russian virtual economy: sources and impact on the economy

S Levendorsky… - 2000 - pdc.ceu.hu
A macroeconomic model based on search-theoretical foundations is built to show that in an
economy with structural deficiencies of the Russian Virtual Economy, money substitutes
appear as a result of optimizing behavior of agents. The result obtains for an economy, ...
Cached - All 2 versions

[PDF] Search, layoffs and reservation wages when job offers follow a stochastic process

[PDF] from 129.3.20.41
S Boyarchenko - Macroeconomics, 2004 - 129.3.20.41
Abstract. Despite the fact that the empirical data indicate the presence of non-stationarity in
wage offer distributions, the majority of job-search models are stationary. We model logs of
wage offers as a Markov process with iid increments and solve two typical job-search ...
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A Three-Sector Model of the Russian Virtual Economy

A Stanislav, S Boyarchenko… - EERC Working Paper …, 2003 - econpapers.repec.org
The Russian economy has evolved into a hybrid form, a partially monetized quasi-market
system that has been called the virtual economy. In the virtual economy, barter and non-
monetary transactions play a key role in transferring value from productive activities to the ...
Cached - All 2 versions

[CITATION] Non-gaussian Merton-Black-Scholes theory (Advances series on statistical and applied probability, vol. 9)

S BOYARCHENKO, S LEVENDORSKII - Recherche, 2002 - lavoisier.fr
Livre: Non-gaussian Merton-Black-Scholes theory (Advances series on statistical and applied
probability, vol. 9) BOYARCHENKO Svetlana, LEVENDORSKII Sergei.
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[CITATION] Investment under uncertainty when shocks are non-gaussian

[PDF] from kobv.de
SZ Levendorskii, SI Boyarchenko… - 1998 - opus.kobv.de
Page 1. Centralblatt der Bauverwaltung. 21 XI. Jahrgang. Herausgegeben im Ministerium der
öffentlichen Arbeiten. Berlin, 17. Januar 1891. Nr. 3. Erscheint jeden Sonnabend. • SW.
Zimmerstrafee 7U- — flesehIft*Btelle und Annahne d«ii»zelge»i W. WilhelmstrarBe 90. ...
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