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Expected utility theory on general affine GARCH models
Escobar, Marcos; Spies, Ben; Zagst, Rudi - In: Applied mathematical finance 28 (2021) 6, pp. 477-507
Persistent link: https://www.econbiz.de/10013411768
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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
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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
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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