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~person:"Escobar, Marcos"
~person:"Korn, Ralf"
~person:"Sarkar, Sudipto"
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Search: subject:"Option"
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Option pricing theory
12
Optionspreistheorie
12
Volatility
9
Volatilität
9
Stochastic process
7
Stochastischer Prozess
7
Theorie
5
Theory
5
CAPM
4
Real option
4
Real options analysis
4
Realoptionsansatz
4
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3
ARCH-Modell
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3
Derivat
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3
Estimation theory
3
Investition
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Option trading
3
Optionsgeschäft
3
Real-option model
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Schätztheorie
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2
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2
Capital structure
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Entscheidung unter Unsicherheit
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GARCH models
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Escobar, Marcos
Korn, Ralf
Sarkar, Sudipto
Wang, Xingchun
32
Cui, Zhenyu
30
Fabozzi, Frank J.
25
Ryu, Doojin
23
Madan, Dilip B.
19
Yang, Zhaojun
19
Lee, Hangsuck
18
Zhang, Jin E.
18
Carr, Peter
16
He, Xin-Jiang
15
Takahashi, Akihiko
15
Chiarella, Carl
14
Fusai, Gianluca
14
Jacobs, Kris
14
Li, Lingfei
14
Siu, Tak Kuen
14
Benth, Fred Espen
13
Elliott, Robert J.
13
Kim, Jeong-Hoon
13
Kim, Young Shin
13
Kirkby, J. Lars
13
Leippold, Markus
13
Shahzad, Syed Jawad Hussain
13
Augustin, Patrick
12
Hammoudeh, Shawkat
12
Kang, Boda
12
Nguyen, Duy
12
Račev, Svetlozar T.
12
Kiesel, Florian
11
Kwok, Yue-Kuen
11
Lee, Cheng F.
11
Wang, King
11
Xu, Wei
11
Yang, Heejin
11
Zhong, Zhaodong
11
Alòs, Elisa
10
Bayer, Christian
10
Bouri, Elie
10
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10
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2
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2
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2
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2
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2
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1
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1
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1
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1
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1
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1
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1
International journal of production economics
1
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1
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ECONIS (ZBW)
18
RePEc
8
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1
Pricing multiple barrier derivatives under stochastic volatility
Escobar, Marcos
;
Panz, Sven
;
Zagst, Rudi
- In:
The journal of computational finance
24
(
2020
)
2
,
pp. 77-101
Persistent link: https://www.econbiz.de/10012543622
Saved in:
2
Can outstanding dividend payments be estimated by American options?
Desmettre, Sascha
;
Grün, Sarah
;
Korn, Ralf
- In:
Quantitative finance
18
(
2018
)
9
,
pp. 1437-1446
Persistent link: https://www.econbiz.de/10011913129
Saved in:
3
Stochastic covariance and dimension reduction in the pricing of basket options
Escobar, Marcos
;
Krause, Daniel
;
Zagst, Rudi
- In:
Review of derivatives research
19
(
2016
)
3
,
pp. 165-200
Persistent link: https://www.econbiz.de/10011927967
Saved in:
4
Mind the cap!-constrained portfolio optimisation in Heston's stochastic volatility model
Escobar, Marcos
;
Kschonnek, M.
;
Zagst, Rudi
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1793-1813
Persistent link: https://www.econbiz.de/10014452471
Saved in:
5
Covariance dependent kernels, a Q-affine GARCH for multi-asset
option
pricing
Escobar, Marcos
;
Rastegari, Javad
;
Stentoft, Lars
- In:
International review of financial analysis
87
(
2023
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014460484
Saved in:
6
Application of the Heath-Platen estimator in the Fong-Vasicek short rate model
Coskun, Sema
;
Korn, Ralf
;
Desmettre, Sascha
- In:
The journal of computational finance
23
(
2019
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012064963
Saved in:
7
Option
pricing with conditional GARCH models
Escobar, Marcos
;
Rastegari, Javad
;
Stentoft, Lars
- In:
European journal of operational research : EJOR
289
(
2021
)
1
,
pp. 350-363
Persistent link: https://www.econbiz.de/10012416733
Saved in:
8
The investment decision with technological and market uncertainties
Fan, Yunfeng
;
Sarkar, Sudipto
;
Zhang, Chuanqian
- In:
The European journal of finance
25
(
2019
)
2
,
pp. 116-138
Persistent link: https://www.econbiz.de/10012206960
Saved in:
9
Affine multivariate GARCH models
Escobar, Marcos
;
Rastegari, Javad
;
Stentoft, Lars
- In:
Journal of banking & finance
118
(
2020
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012521059
Saved in:
10
Stochastic volatility models for the implied correlation index : evidence, properties and pricing
Escobar, Marcos
;
Lin, Fang
- In:
Finance research letters
35
(
2020
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012438998
Saved in:
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