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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

Stochastic correlation and volatility mean-reversion : empirical motivation and derivatives pricing via perturbation theory

Escobar, Marcos; Götz, Barbara; Neykova, Daniela; … - In: Applied mathematical finance 21 (2014) 5/6, pp. 555-594

Persistent link: https://www.econbiz.de/10010500871

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

Dynamic portfolio strategies under a fully correlated jump-diffusion process

Escobar, Marcos; Moreno-Franco, Harold A. - In: Annals of finance 15 (2019) 3, pp. 421-453

Persistent link: https://www.econbiz.de/10012240153

Generalized mean-reverting 4/2 Factor Model

Cheng, Yuyang; Escobar, Marcos; Gong, Zhenxian - In: Journal of risk and financial management : JRFM 12 (2019) 4/159, pp. 121

This paper proposes and investigates a multivariate 4/2 Factor Model. The name 4/2 comes from the superposition of a CIR term and a 3/2-model component. Our model goes multidimensional along the lines of a principal component and factor covariance decomposition. We find conditions for...

Persistent link: https://www.econbiz.de/10012172988

Two asset-barrier option under stochastic volatility

Goetz, Barbara; Escobar, Marcos; Zagst, Rudi - In: Applied mathematical finance 24 (2017) 5/6, pp. 520-546

Persistent link: https://www.econbiz.de/10011815295

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

Pricing two-asset barrier options under stochastic correlation via perturbation

Escobar, Marcos; Götz, Barbara; Neykova, Daniela; … - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-44

Persistent link: https://www.econbiz.de/10011403748

Pricing two dimensional derivatives under stochastic correlation

Alvarez, Alexander; Escobar, Marcos; Olivares, Pablo - In: International journal of financial markets and derivatives 2 (2011) 4, pp. 265-287

Persistent link: https://www.econbiz.de/10009528841

Pricing of spread options on stochastically correlated underlyings

Escobar, Marcos; Götz, Barbara; Seco, Luis; Zagst, Rudi - In: The journal of computational finance 12 (2009) 3, pp. 31-61

Persistent link: https://www.econbiz.de/10009534616