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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

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

Asset pricing theory for two price economies

Madan, Dilip B. - In: Annals of finance 11 (2015) 1, pp. 1-35

Persistent link: https://www.econbiz.de/10011376162

Factor models for option pricing

Carr, Peter; Madan, Dilip B. - In: Asia-Pacific financial markets 19 (2012) 4, pp. 319-329

Persistent link: https://www.econbiz.de/10009705364

Two price economies in continuous time

Eberlein, Ernst; Madan, Dilip B.; Pistorius, Martijn; … - In: Annals of finance 10 (2014) 1, pp. 71-100

Persistent link: https://www.econbiz.de/10010244607

Marking to two-price markets

Madan, Dilip B. - In: The journal of asset management 17 (2016) 2, pp. 100-118

Persistent link: https://www.econbiz.de/10011442967

Benchmarking in two price financial markets

Madan, Dilip B. - In: Annals of finance 12 (2016) 2, pp. 201-219

Persistent link: https://www.econbiz.de/10011555706

A two-factor hazard-rate-model for pricing risky debt and the term structure of credit spreads

Madan, Dilip B.; Unal, Haluk - 1999

Persistent link: https://www.econbiz.de/10001427315

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

A two-factor hazard rate model for pricing risky debt and the term structure of credit spreads

Madan, Dilip B.; Unal, Haluk - In: Journal of financial and quantitative analysis : JFQA 35 (2000) 1, pp. 43-65

Persistent link: https://www.econbiz.de/10001492484

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