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Andrey Itkin · Study

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Andrey Itkin

6 works· latest 2020· 2 institutionscluster: provisionalORCID 0000-0002-0796-6946

h-index6

i106

Citations240

Works here6

09

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12

17

20

Most cited in this library

Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case2009 · 67 citations
Pricing Derivatives Under Lévy Models2017 · 47 citations
Jumps Without Tears: A New Splitting Technology for Barrier Options2011 · 36 citations
Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models2011 · 34 citations
New solvable stochastic volatility models for pricing volatility derivatives2012 · 33 citations

Works

6 shown

Semi-Closed Form Prices of Barrier Options in the Time-Dependent CEV and CIR Models

The Journal of Derivatives·2020·3 authors·Open access

23citations

Pricing Derivatives Under Lévy Models

Pseudo-differential operators·2017·1 author·book

47citations

New solvable stochastic volatility models for pricing volatility derivatives

Review of Derivatives Research·2012·1 author

33citations

Jumps Without Tears: A New Splitting Technology for Barrier Options

International Journal of Numerical Analysis and Modeling·2011·2 authors

36citations

Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models

Computational Economics·2011·2 authors

34citations

Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case

Review of Derivatives Research·2009·2 authors

67citations