319 citations · 464 across the 28 of their papers we have counts for
6 papers · 1 filter
Exotic derivatives under stochastic volatility models with jumps
Aleksandar Mijatović, Martijn Pistorius
In equity and foreign exchange markets the risk-neutral dynamics of the underlying asset are commonly represented by stochastic volatility models with jumps. In this paper we consi…
Continuously monitored barrier options under Markov processes
Aleksandar Mijatovic, Martijn Pistorius
In this paper we present an algorithm for pricing barrier options in one-dimensional Markov models. The approach rests on the construction of an approximating continuous-time Marko…
A transform approach to compute prices and greeks of barrier options driven by a class of Levy processes
Marc Jeannin, Martijn Pistorius
In this paper we propose a transform method to compute the prices and greeks of barrier options driven by a class of Levy processes. We derive analytical expressions for the Laplac…
Pricing and hedging barrier options in a hyper-exponential additive model
Marc Jeannin, Martijn Pistorius
In this paper we develop an algorithm to calculate the prices and Greeks of barrier options in a hyper-exponential additive model with piecewise constant parameters. We obtain an e…
On perpetual American put valuation and first-passage in a regime-switching model with jumps
Z. Jiang, M. R. Pistorius
In this paper we consider the problem of pricing a perpetual American put option in an exponential regime-switching Lévy model. For the case of the (dense) class of phase-type jump…
Pricing Equity Default Swaps under an approximation to the CGMY Lé% vy Model
Soeren Asmussen, Dilip Madan, Martijn Pistorius
The Wiener-Hopf factorization is obtained in closed form for a phase type approximation to the CGMY Lévy process. This allows, for the approximation, exact computation of first pas…