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~person:"Escobar, Marcos"
~subject:"Experiment"
~subject:"Principal components"
~type:"article"
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Option trading
9
Optionsgeschäft
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Option pricing theory
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Optionspreistheorie
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Stochastic process
6
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Derivat
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barrier options
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generalized Fourier transform
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Escobar, Marcos
Lee, Hangsuck
4
Carr, Peter
3
Ko, Bangwon
3
Shiraya, Kenichiro
3
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2
Bernard, Carole
2
Chan, Tat Lung
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Kyriakou, Ioannis
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Review of derivatives research
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Applied mathematical finance
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ECONIS (ZBW)
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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:
2
Closed-form pricing of two-asset barrier options with stochastic covariance
Götz, Barbara
;
Escobar, Marcos
;
Zagst, Rudi
- In:
Applied mathematical finance
21
(
2014
)
3/4
,
pp. 363-397
Persistent link: https://www.econbiz.de/10010499671
Saved in:
3
Efficiently pricing double barrier derivatives in stochastic volatility models
Escobar, Marcos
;
Hieber, Peter
;
Scherer, Matthias
- In:
Review of derivatives research
17
(
2014
)
2
,
pp. 191-216
Persistent link: https://www.econbiz.de/10010529630
Saved in:
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