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Oleg E. Kudryavtsev

Observed names: Kudryavtsev, Oleg, O E Kudryavtsev, O Kudryavtsev, O. E. Kudryavtsev, O. Ye. Kudryavtsev, OLEG KUDRYAVTSEV, Oleg Kudryavtsev, О Е Кудрявцев, Олег Евгеньевич Кудрявцев
ORCID: 0000-0003-4331-0204
Observed ORCID: 0000-0003-4331-0204
OpenAlex ID: A5069702443
Fast and accurate pricing of barrier options under Lévy processes
2009 · Oleg Kudryavtsev, Sergei Levendorskiǐ · Finance and Stochastics · 93
Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models
2016 · Oleg Kudryavtsev · Boletín de la Sociedad Matemática Mexicana · 17
Pricing of First Touch Digitals Under Normal Inverse Gaussian Processes
2006 · OLEG KUDRYAVTSEV, SERGEI LEVENDORSKIǏ · International Journal of Theoretical and Applied Finance · 17
Finite Difference Methods for Option Pricing under Lévy Processes: Wiener‐Hopf Factorization Approach
2013 · Oleg Kudryavtsev · The Scientific World JOURNAL · 16
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Approximate Wiener--Hopf Factorization and Monte Carlo Methods for Lévy Processes
2019 · O. E. Kudryavtsev · Theory of Probability and Its Applications · 14
The relative efficiency of numerical methods for pricing American options under Lévy processes
2005 · Sergei Levendorskio, Oleg Kudryavtsev, et al. · The Journal of Computational Finance · 14
Efficient Pricing Options with Barrier and Lookback Features Under Levy Processes
2011 · Oleg E. Kudryavtsev, Sergei Z. Levendorskii · SSRN Electronic Journal · 11
Efficient pricing of swing options in Lévy-driven models
2012 · Oleg Kudryavtsev, Antonino Zanette · Quantitative Finance · 10
An efficient numerical method to solve a special cass of integro-differential equations relating to the Levy models
2011 · O. Ye. Kudryavtsev · Mathematical Models and Computer Simulations · 10
Applications of Artificial Neural Networks to Simulating Lévy Processes
2023 · Oleg Kudryavtsev, Natalia Danilova · Journal of Mathematical Sciences · 6
The Relative Efficiency of Numerical Methods for Pricing American Options Under LéVy Processes
2006 · Sergei Levendorskiı̌, Oleg Kudryavtsev, et al. · SSRN Electronic Journal · 6
Monte Carlo Method for Pricing Lookback Type Options in Lévy Models
2024 · O. E. Kudryavtsev, A. S. Grechko, et al. · Theory of Probability and Its Applications · 5
A Simple Wiener-Hopf Factorization Approach for Pricing Double-Barrier Options
2021 · Oleg Kudryavtsev · Springer proceedings in mathematics & statistics · 4
A Wiener-Hopf factorization approach for pricing barrier options in the Heston model
2016 · Oleg Kudryavtsev, Vasily Rodochenko · Applied Mathematical Sciences · 4
Efficient pricing options under regime switching
2010 · Kudryavtsev, Oleg · HAL · 4
The Wiener-Hopf Factorization for Pricing Options Made Easy
2020 · Oleg E. Kudryavtsev, Praskoviya Luzhetskaya · SSRN Electronic Journal · 3
Приближенная факторизация Винера-Хопфа и методы Монте-Карло для процессов Леви
2019 · O E Kudryavtsev · Теория вероятностей и ее применения · 3
A Note on Relative Efficiency of Some Numerical Methods for Pricing of American Options Under Levy Processes
2004 · Sergei Z. Levendorskii, Oleg E. Kudryavtsev, et al. · SSRN Electronic Journal · 3
On a numerical method for solving integro-differential equations with variable coefficients with applications in finance
2018 · O Kudryavtsev, V Rodochenko · Journal of Physics Conference Series · 2
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Digital Platform for Intelligent Tracking of International Road Transport Using Blockchain Technology and Electronic Navigation Seals
2025 · Valeriy Boluchenko, Oleg Kudryavtsev, et al. · Lecture notes in networks and systems · 1
A simplified Wiener–Hopf factorization method for pricing double barrier options under Lévy processes
2024 · Oleg Kudryavtsev · Computational Management Science · 1
Customs in the Age of Integrated Digital Platforms for International Trade
2021 · Oleg E. Kudryavtsev, Olga Adamova, et al. · SSRN Electronic Journal · 1
On using artificial neural networks for calibrating tempered stable Lévy processes to probabilities of crossing absorbing barriers
2020 · O Kudryavtsev, V Rodochenko · Journal of Physics Conference Series · 1
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An implementation of the Wiener-Hopf factorization into finite difference methods for option pricing under Lévy processes
2012 · Kudryavtsev, Oleg · HAL · 1
Barrier Crossing Probability Prediction Using Spiking Neural Networks Under the Kou Jump-diffusion Model
2026 · Guanghang Huang, Oleg Kudryavtsev · Journal of Mathematical Sciences
Works count: 54
Citation count: 247
H-index: 9
I10-index: 9
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