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The multinomial option pricing model and its limits
Madan, Dilip B.; Milne, Frank - 1988
Persistent link: https://www.econbiz.de/10000753404
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Capital utilization in competitive models of the short-run
Madan, Dilip B.; Betancourt, Roger R. - 1987
Persistent link: https://www.econbiz.de/10000758936
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Investigating the role of systematic and firm-specific factors in default risk : lessons from empirically evaluating credit risk models
Bakshi, Gurdip S.; Madan, Dilip B.; Zhang, Frank Xiaoling - In: Credit risk : models, derivatives, and management, (pp. 155-180). 2008
Persistent link: https://www.econbiz.de/10003718458
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The multinomial option pricing model and its Brownian and poisson limits
Milne, Frank (contributor); Madan, Dilip B. (contributor);  … - 1990
The Cox, Ross, and Rubinstein binomial model is generalized to the multinomial case. Limits are investigated and shown to yield the Black-Scholes formula in the case of continuous sample paths for a wide variety of complete market structures. In the discontinuous case a Merton-type formula is...
Persistent link: https://www.econbiz.de/10003780966
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Incomplete diversification and asset pricing
Elliott, Robert Frank (contributor);  … - 2002
Persistent link: https://www.econbiz.de/10003780988
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New measures for performance evaluation
Cherny, Alexander; Madan, Dilip B. - In: The review of financial studies 22 (2009) 7, pp. 2571-2606
Persistent link: https://www.econbiz.de/10003866781
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Markets as a counterparty : an introduction to conic finance
Madan, Dilip B.; Cherny, Alexander - In: International journal of theoretical and applied finance 13 (2010) 8, pp. 1149-1177
Persistent link: https://www.econbiz.de/10008906182
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Deducing the implications of jump models for the structure of stock market crashes, rallies, jump arrival rates, and extremes
Bakshi, Gurdip S.; Madan, Dilip B.; Panayotov, George - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 3, pp. 380-396
Persistent link: https://www.econbiz.de/10008736201
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Stochastic processes in finance
Madan, Dilip B. - In: Annual review of financial economics 2 (2010), pp. 277-314
Persistent link: https://www.econbiz.de/10008797755
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Self-decomposability and option pricing
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc - In: Mathematical finance : an international journal of … 17 (2007) 1, pp. 31-57
Persistent link: https://www.econbiz.de/10003543101