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Spanning and derivative-security valuation

Bakshi, Gurdip S.; Madan, Dilip B. - In: Journal of financial economics 55 (2000) 2, pp. 205-238

Persistent link: https://www.econbiz.de/10001448505

Estimation of risk-neutral and statistial densities by hermite polynomial approximation : with an application to Eurodollar futures options

Abken, Peter A.; Madan, Dilip B.; Ramamurtie, … - 1996

Persistent link: https://www.econbiz.de/10000946463

It Takes Two to Tango : Estimation of the Zero-Risk Premium Strike of a Call Option Via Joint Physical and Pricing Density Modeling

Höcht, Stephan; Madan, Dilip B.; Schoutens, Wim; … - 2021

It is generally said that out-of-the-money call options are expensive and one can ask the question from which moneyness level this is the case. Expensive actually means that the price one pays for the option is more than the discounted average payoff one receives. If so, the option bears a...

Persistent link: https://www.econbiz.de/10013230953

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

Two processes for two prices

Madan, Dilip B.; Schoutens, Wim - In: International journal of theoretical and applied finance 17 (2014) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10010363955

Conic finance and the corporate balance sheet

Madan, Dilip B.; Schoutens, Wim - In: International journal of theoretical and applied finance 14 (2011) 5, pp. 587-610

Persistent link: https://www.econbiz.de/10009298528

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

Put option prices as joint distribution functions in strike and maturity : the black-scholes case

Madan, Dilip B.; Roynette, Bernard; Yor, Marc - In: International journal of theoretical and applied finance 12 (2009) 8, pp. 1075-1090

Persistent link: https://www.econbiz.de/10003946566

Conic option pricing

Madan, Dilip B.; Schoutens, Wim - In: The journal of derivatives : the official publication … 25 (2017) 1, pp. 10-36

Persistent link: https://www.econbiz.de/10011931506

Strike asymptotics for Laplace implied volatilities

Madan, Dilip B.; Wang, King - In: Finance research letters 25 (2018), pp. 183-189

Persistent link: https://www.econbiz.de/10012003516