319 citations · 464 across the 28 of their papers we have counts for
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q-fin.PR2009
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…
math.PR2009
On additive time-changes of Feller processes
Aleksandar Mijatović, Martijn Pistorius
In this note we generalise the Phillips theorem on the subordination of Feller processes by Levy subordinators to the class of additive subordinators (i.e. subordinators with indep…
q-fin.PR2009
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…