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Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc - In: Finance and stochastics 9 (2005) 4, pp. 453-475

Persistent link: https://www.econbiz.de/10003123173

Options on Realized Variance and Convex Orders

Carr, Peter; Geman, Hélyette; Yor, Marc; Madan, Dilip B. - 2010

Realized variance option and options on quadratic variation normalized to unit expectation are analyzed for the property of monotonicity in maturity for call options at a fixed strike. When this condition holds the risk neutral densities are said to be increasing in the convex order. For Lévy...

Persistent link: https://www.econbiz.de/10014198748

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

Stochastic volatility, jumps and hidden time changes

Geman, Hélyette; Madan, Dilip B.; Yor, Marc - In: Finance and stochastics 6 (2002) 1, pp. 63-90

Persistent link: https://www.econbiz.de/10001643753

Time changes for Lévy processes

Geman, Hélyette; Madan, Dilip B.; Yor, Marc - In: Mathematical finance : an international journal of … 11 (2001) 1, pp. 79-96

Persistent link: https://www.econbiz.de/10001650919

Correlation and the pricing of risks

Atlan, Marc; Geman, Hélyette; Madan, Dilip B.; Yor, Marc - In: Annals of finance 3 (2007) 4, pp. 411-453

Persistent link: https://www.econbiz.de/10003529804

Pricing and hedging in incomplete markets

Carr, Peter; Geman, Hélyette; Madan, Dilip B. - In: Journal of financial economics 62 (2001) 1, pp. 131-167

Persistent link: https://www.econbiz.de/10001608818

Bessel processes, Asian options, and perpetuities

Geman, Hélyette - In: Mathematical finance : an international journal of … 3 (1993) 4, pp. 349-375

Persistent link: https://www.econbiz.de/10001185120

Pricing and hedging double-barrier options : a probabilistic approach

Geman, Hélyette - In: Mathematical finance : an international journal of … 6 (1996) 4, pp. 365-378

Persistent link: https://www.econbiz.de/10001208935

A simple stochastic rate model for rate equity hybrid products

Eberlein, Ernst; Madan, Dilip B.; Pistorius, Martijn; … - In: Applied mathematical finance 20 (2013) 5/6, pp. 461-488

Persistent link: https://www.econbiz.de/10010235587