Authors: Boyarchenko, Svetlana¹ sboyarch@eco.utexas.edu, Levendorskiĭ, Sergei¹ leven@eco.utexas.edu

Superior Title: SIAM Journal on Control & Optimization. 2009, Vol. 48 Issue 3, p1353-1376. 24p. 5 Charts.

Subject Terms: *MARKOV processes, *MARKOV operators, *EXCESSIVE measures (Mathematics), *PRICING, *STOCHASTIC processes, *MARKET volatility

Authors: Kudryavtsev, Oleg¹ koe@donrta.ru, Levendorskiiĭ, Sergei² sl278@le.ac.uk

Superior Title: Finance & Stochastics. 2009, Vol. 13 Issue 4, p531-562. 32p. 5 Charts.

Subject Terms: *PRICING, *INVESTMENT analysis, *MONTE Carlo method, *ESTIMATION theory, LEVY processes