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Publications in Math-Net.Ru |
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2024 |
1. |
O. E. Kudryavtsev, A. S. Grechko, I. E. Mamadov, “Monte Carlo method for pricing lookback options in Lévy models”, Teor. Veroyatnost. i Primenen., 69:2 (2024), 305–334 ; Theory Probab. Appl., 69:2 (2024), 243–264 |
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2019 |
2. |
O. E. Kudryavtsev, “Approximate Wiener–Hopf factorization and the Monte Carlo methods for Lévy processes”, Teor. Veroyatnost. i Primenen., 64:2 (2019), 228–257 ; Theory Probab. Appl., 64:2 (2019), 186–208 |
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2011 |
3. |
O. E. Kudryavtsev, “Efficient numerical method for solving a special class of integro-differential equations connected with Levy models”, Matem. Mod., 23:5 (2011), 95–104 ; Math. Models Comput. Simul., 3:6 (2011), 706–711 |
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Presentations in Math-Net.Ru |
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