22 citations · 22 across the 1 of their papers we have counts for
3 papers
q-fin.PR2011
A Note on Delta Hedging in Markets with Jumps
Aleksandar Mijatović, Mikhail Urusov
Modelling stock prices via jump processes is common in financial markets. In practice, to hedge a contingent claim one typically uses the so-called delta-hedging strategy. This str…
math.PR2010
Martingale property of generalized stochastic exponentials
Aleksandar Mijatović, Nika Novak, Mikhail Urusov
For a real Borel measurable function b, which satisfies certain integrability conditions, it is possible to define a stochastic integral of the process b(Y) with respect to a Brown…
math.PR2008★ 22 cited
On a class of optimal stopping problems for diffusions with discontinuous coefficients
Ludger Rüschendorf, Mikhail A. Urusov
In this paper, we introduce a modification of the free boundary problem related to optimal stopping problems for diffusion processes. This modification allows the application of th…