On a new approach to calculating expectations for option pricing

By Konstantin Borovkov, Alexander Novikov. Journal of Applied Probability, 2002

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Analysis of Fourier Transform Valuation Formulas and Applications (2008, background): “The article of Borovkov and Novikov (2002) deals with the application of Fourier transform valuation formulas for the pricing of some exotic options, while Hubalek et al. (2006) use similar techniques for hedging purposes.”
Equivalence of floating and fixed strike Asian and lookback options (2005, background): “In that case, closed form solutions are not available for several types of payos, such as lookback or Asian options, or are available only for one type of payo, most probably fixed strike options, as in Borovkov and Novikov (2002) or Benhamou (2002).”
Fourier Inversion Formulas in Option Pricing and Insurance (2009, methodology): “These formulas extend those given for calls and puts in Lewis (2001) and Borovkov & Novikov (2002).”
An introduction to Lévy processes with applications in finance (2008, methodology): “Several authors have derived valuation formulae using Fourier or Laplace transforms, see e.g. Carr and Madan (1999), Borovkov and Novikov (2002) and Eberlein, Glau, and Papapantoleon (2008).”