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Pricing product options and using them to complete markets for functions of two underlying asset prices

Madan, Dilip B.; Wang, King - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-19

Options paying the product of put and/or call option payouts at different strikes on two underlying assets are observed to synthesize joint densities and replicate differentiable functions of two underlying asset prices. The pricing of such options is undertaken from three perspectives. The...

Persistent link: https://www.econbiz.de/10012626539

On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation

Madan, Dilip B.; Pistorius, M.; Stadje, M. - In: Finance and stochastics 21 (2017) 4, pp. 1073-1102

Persistent link: https://www.econbiz.de/10011944476

Modeling risk-weighted assets and the risk sensitivity of related capital requirements

Eberlein, Ernst; Madan, Dilip B.; Schoutens, Wim - In: Journal of risk 16 (2013) 2, pp. 3-23

Persistent link: https://www.econbiz.de/10010237932

Bid and ask prices as non-linear continuous time G-expectations based on distortions

Eberlein, Ernst; Madan, Dilip B.; Pistorius, Martijn; … - In: Mathematics and financial economics 8 (2014) 3, pp. 265-289

Persistent link: https://www.econbiz.de/10010365556

Two price economic equilibria and financial market bid/ask prices

Elliott, Robert J.; Madan, Dilip B.; Siu, Tak Kuen - In: Annals of finance 17 (2021) 1, pp. 27-43

Persistent link: https://www.econbiz.de/10012489935

Nonlinear equity valuation using conic finance and its regulatory implications

Madan, Dilip B. - In: Mathematics and financial economics 13 (2019) 1, pp. 31-65

Persistent link: https://www.econbiz.de/10012055751

Measuring dependence in a set of asset returns

Madan, Dilip B.; Wang, King - In: Asia Pacific financial markets 30 (2023) 2, pp. 363-385

Persistent link: https://www.econbiz.de/10014342359

Modeling and monitoring risk acceptability in markets : the case of the credit default swap market

Madan, Dilip B. - In: Journal of banking & finance 47 (2014), pp. 63-73

Persistent link: https://www.econbiz.de/10010506505

Pricing the risk of recovery in default with absolute priority rule violation

Unal, Haluk; Madan, Dilip B.; Güntay, Levent - In: Journal of banking & finance 27 (2003) 6, pp. 1001-1025

Persistent link: https://www.econbiz.de/10001757805

Pricing the risks of default

Madan, Dilip B.; Unal, Haluk - In: Review of derivatives research 2 (1998) 2/3, pp. 121-160

Persistent link: https://www.econbiz.de/10001497930