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Local time and the pricing of time-dependent barrier
Mijatović, Aleksandar - In: Finance and stochastics 14 (2010) 1, pp. 13-48
Persistent link: https://www.econbiz.de/10003924781
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Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models
Mijatović, Aleksandar; Urusov, Mikhail - In: Finance and stochastics 16 (2012) 2, pp. 225-247
Persistent link: https://www.econbiz.de/10009544669
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A note on essential smoothness in the Heston model
Forde, Martin; Jacquier, Antoine; Mijatović, Aleksandar - In: Finance and stochastics 15 (2011) 4, pp. 781-784
Persistent link: https://www.econbiz.de/10009423265
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Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
González Cázares, Jorge; Mijatović, Aleksandar - In: Finance and stochastics 26 (2022) 4, pp. 671-732
Persistent link: https://www.econbiz.de/10013440249
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A note on essential smoothness in the Heston model
Forde, Martin; Jacquier, Antoine; Mijatović, Aleksandar - In: Finance and stochastics 15 (2011) 4, pp. 781-785
Persistent link: https://www.econbiz.de/10009805452
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Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models
Mijatović, Aleksandar; Urusov, Mikhail - In: Finance and stochastics 16 (2012) 2, pp. 225-248
Persistent link: https://www.econbiz.de/10009839740
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Correction note for ‘The large-maturity smile for the Heston model’
Bernard, Carole; Cui, Zhenyu; Forde, Martin; Jacquier, … - In: Finance and stochastics 17 (2012) 1, pp. 223-224
Persistent link: https://www.econbiz.de/10010057625
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Local time and the pricing of time-dependent barrier options
Mijatović, Aleksandar - In: Finance and stochastics 14 (2009) 1, pp. 13-49
Persistent link: https://www.econbiz.de/10008445241
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Optimal dividend distribution under Markov regime switching
Jiang, Zhengjun; Pistorius, Martijn - In: Finance and stochastics 16 (2012) 3, pp. 449-477
Persistent link: https://www.econbiz.de/10009983146
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Optimal dividend distribution under Markov regime switching
Jiang, Zhengjun; Pistorius, Martijn - In: Finance and stochastics 16 (2012) 3, pp. 449-476
Persistent link: https://www.econbiz.de/10009562303