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person:"Madan, Dilip B."
~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Recent advances in financial engineering 2011: proceedings of the International Workshop on Finance 2011"
~isPartOf:"The journal of computational finance"
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Option pricing theory
10
Optionspreistheorie
10
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3
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2
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Madan, Dilip B.
Levendorskij, Sergej Z.
11
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10
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5
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International journal of theoretical and applied finance
Recent advances in financial engineering 2011: proceedings of the International Workshop on Finance 2011
The journal of computational finance
Robert H. Smith School Research Paper
11
Mathematical finance : an international journal of mathematics, statistics and financial theory
6
Applied mathematical finance
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International Journal of Portfolio Analysis and Management
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International journal of financial engineering
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Journal of financial and quantitative analysis : JFQA
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of financial economics
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Review of derivatives research
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Risks : open access journal
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
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1
Option implied VIX, Skew and Kurtosis term structures
Madan, Dilip B.
;
Wang, King
- In:
International journal of theoretical and applied finance
24
(
2021
)
5
,
pp. 1-13
Persistent link: https://www.econbiz.de/10012662046
Saved in:
2
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
Saved in:
3
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
Saved in:
4
On pricing contingent capital notes
Madan, Dilip B.
- In:
Recent advances in financial engineering 2011: …
,
(pp. 21-42)
.
2012
Persistent link: https://www.econbiz.de/10009573490
Saved in:
5
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
Saved in:
6
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
Saved in:
7
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
Saved in:
8
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
Saved in:
9
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
Saved in:
10
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
Saved in:
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