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A polynomial-affine approximation for dynamic portfolio choice

Zhu, Yichen; Escobar, Marcos; Davison, Matt - In: Computational economics 62 (2023) 3, pp. 1177-1213

Persistent link: https://www.econbiz.de/10014382894

Dynamic derivative strategies with stochastic interest rates and model uncertainty

Escobar, Marcos; Ferrando, Sebastian; Rubtsov, Alexey - In: Journal of economic dynamics & control 86 (2018), pp. 49-71

Persistent link: https://www.econbiz.de/10011973854

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

A class of portfolio optimization solvable problems

Cheng, Yuyang; Escobar, Marcos - In: Finance research letters 52 (2023), pp. 1-10

Persistent link: https://www.econbiz.de/10014472208

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

Imposing a symmetry condition on returns, Carr and Lee (Math Financ 19(4):523–560, <CitationRef CitationID="CR10">2009</CitationRef>) show that (double) barrier derivatives can be replicated by a portfolio of European options and can thus be priced using fast Fourier techniques (FFT). We show that prices of barrier derivatives in...</citationref>

Persistent link: https://www.econbiz.de/10010989564

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

Robust portfolio choice with derivative trading under stochastic volatility

Escobar, Marcos; Ferrando, Sebastian; Rubtsov, Alexey - In: Journal of banking & finance 61 (2015), pp. 142-157

Persistent link: https://www.econbiz.de/10011545164

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

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