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Adjusting exponential Lévy models toward the simultaneous calibration of market prices for crash cliquets
Carr, Peter; Khanna, Ajay; Madan, Dilip B. - In: The journal of computational finance 20 (2016) 1, pp. 89-111
Persistent link: https://www.econbiz.de/10011639593
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The Chebyshev method for the implied volatility
Glau, Kathrin; Herold, Paul; Madan, Dilip B.; Pötz, … - In: The journal of computational finance 23 (2019) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10012162365
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Saddlepoint methods for option pricing
Carr, Peter; Madan, Dilip B. - In: The journal of computational finance 13 (2009/10) 1, pp. 49-61
Persistent link: https://www.econbiz.de/10003969743
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Pricing American options under variance gamma
Hirsa, Ali; Madan, Dilip B. - In: The journal of computational finance 7 (2003/2004) 2, pp. 63-80
Persistent link: https://www.econbiz.de/10001908061
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Pricing continuous Asian options : a comparison of Monte Carlo and Laplace transform inversion methods
Fu, Michael; Madan, Dilip B.; Wang, Tong - In: The journal of computational finance 2 (1998/1999) 2, pp. 49-74
Persistent link: https://www.econbiz.de/10001633397
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Option valuation using the fast Fourier transform
Carr, Peter; Madan, Dilip B. - In: The journal of computational finance 2 (1999) 4, pp. 61-73
Persistent link: https://www.econbiz.de/10001517298
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Representing the CGMY and Meixner Lévy processes as time changed Brownian motions
Madan, Dilip B.; Yor, Marc - In: The journal of computational finance 12 (2008) 1, pp. 27-47
Persistent link: https://www.econbiz.de/10009534636