Kudryavtsev O E

Publications in Math-Net.Ru

1. Monte Carlo method for pricing lookback options in Lévy models
   
   Teor. Veroyatnost. i Primenen., 69:2 (2024),  305–334
2. Approximate Wiener–Hopf factorization and the Monte Carlo methods for Lévy processes
   
   Teor. Veroyatnost. i Primenen., 64:2 (2019),  228–257
3. Efficient numerical method for solving a special class of integro-differential equations connected with Levy models
   
   Matem. Mod., 23:5 (2011),  95–104