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The shifted GARCH model with affine variance : applications in pricing

Escobar, Marcos; Hou, Yangyang; Stentoft, Lars - In: Finance research letters 71 (2025), pp. 1-8

Persistent link: https://www.econbiz.de/10015197067

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

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

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

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

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

Covariance Dependent Kernels, a Q-Affine GARCH for multi-asset option pricing

Rastegari, Javad; Stentoft, Lars; Escobar, Marcos - 2021

This paper introduces a class of multivariate GARCH models with sufficient flexibility to allow for pricing kernels dependent on variances and correlation. This extends the existing literature by explicitly modeling correlation dependent pricing kernels. A large subclass admits closed-form...

Persistent link: https://www.econbiz.de/10013313981

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

Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing

Escobar, Marcos; Rastegari, Javad; Stentoft, Lars - 2023

Persistent link: https://www.econbiz.de/10014281687

Not all VIXs are (Informationally) equal : evidence from affine GARCH option pricing models

Escobar, Marcos; Stentoft, Lars; Ye, Xize - In: Finance research letters 69 (2024) 1, pp. 1-7

Persistent link: https://www.econbiz.de/10015079727