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CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES
Mijatović, Aleksandar; Pistorius, Martijn - In: Mathematical finance : an international journal of … 23 (2013) 1, pp. 1-38
Persistent link: https://www.econbiz.de/10010063812
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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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A two-dimensional ruin problem on the positive quadrant
Avram, Florin; Palmowski, Zbigniew; Pistorius, Martijn - In: Insurance / Mathematics & economics 42 (2008) 1, pp. 227-234
Persistent link: https://www.econbiz.de/10007905830
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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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A two-dimensional ruin problem on the positive quadrant
Avram, Florin; Palmowski, Zbigniew; Pistorius, Martijn - In: Insurance / Mathematics & economics 42 (2008) 1, pp. 227-235
Persistent link: https://www.econbiz.de/10008886700