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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
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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
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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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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
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Vulnerable exotic derivatives
Escobar, Marcos; Mahlstedt, Mirco; Panz, Sven; Zagst, Rudi - In: The journal of derivatives : the official publication … 24 (2017) 3, pp. 84-102
Persistent link: https://www.econbiz.de/10011687344
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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
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A general structural approach for credit modeling under stochastic volatility
Escobar, Marcos; Friedrich, Tim; Seco, Luis; Zagst, Rudi - In: Journal / The Capco Institute : journal of financial … 32 (2011), pp. 123-132
Persistent link: https://www.econbiz.de/10009629244
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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
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Barrier options in three dimensions
Escobar, Marcos; Ferrando, Sebastian; Wen, Xianzhang - In: International journal of financial markets and derivatives 3 (2014) 3, pp. 260-292
Persistent link: https://www.econbiz.de/10010406917
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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