no code implementations • 26 Sep 2023 • Andrey Itkin
Based on the provided example, we claim that the ADO-Heston model (which is a pure diffusion model but with a stochastic mean-reversion speed of the variance process, or a Markovian approximation of the rough Heston model) is able (approximately) to reproduce the known behavior of the vanilla implied skew at small $T$.
no code implementations • 17 Aug 2023 • Andrey Itkin
In this paper we propose a semi-analytic approach to pricing American options for time-dependent jump-diffusions models with exponential jumps The idea of the method is to further generalize our approach developed for pricing barrier, [Itkin et al., 2021], and American, [Carr and Itkin, 2021; Itkin and Muravey, 2023], options in various time-dependent one factor and even stochastic volatility models.
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.
no code implementations • 19 Mar 2020 • Peter Carr, Andrey Itkin
In this paper we develop a semi-closed form solutions for the barrier (perhaps, time-dependent) and American options written on the underlying stock which follows a time-dependent OU process with a log-normal drift.
no code implementations • 17 Dec 2019 • Andrey Itkin, Fazlollah Soleymani
In this paper we modify the model of Itkin, Shcherbakov and Veygman, (2019) (ISV2019), proposed for pricing Quanto Credit Default Swaps (CDS) and risky bonds, in several ways.
no code implementations • 17 Jul 2019 • Peter Carr, Andrey Itkin, SASHA STOIKOV
We derive a backward and forward nonlinear PDEs that govern the implied volatility of a contingent claim whenever the latter is well-defined.
no code implementations • 19 Apr 2019 • Peter Carr, Andrey Itkin
In this paper we apply Markovian approximation of the fractional Brownian motion (BM), known as the Dobric-Ojeda (DO) process, to the fractional stochastic volatility model where the instantaneous variance is modelled by a lognormal process with drift and fractional diffusion.
no code implementations • 3 Mar 2019 • Fazlollah Soleymani, Andrey Itkin
This paper proposes a numerical method for pricing foreign exchange (FX) options in a model which deals with stochastic interest rates and stochastic volatility of the FX rate.
no code implementations • 19 Sep 2018 • Peter Carr, Andrey Itkin
This paper describes another extension of the Local Variance Gamma model originally proposed by P. Carr in 2008, and then further elaborated on by Carr and Nadtochiy, 2017 (CN2017), and Carr and Itkin, 2018 (CI2018).
no code implementations • 26 Feb 2018 • Peter Carr, Andrey Itkin
The paper proposes an expanded version of the Local Variance Gamma model of Carr and Nadtochiy by adding drift to the governing underlying process.
