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The multinomial option pricing model and its limits

Madan, Dilip B.; Milne, Frank - 1988

Persistent link: https://www.econbiz.de/10000753404

How much do banks use credit derivatives to hedge loans?

Minton, Bernadette A. (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003727668

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

The pricing of options with default risk

Johnson, Herbert - In: The journal of finance : the journal of the American … 42 (1987) 2, pp. 267-280

Persistent link: https://www.econbiz.de/10001047787

Rethinking risk management

Stulz, René M. - In: Corporate risk : strategies and management, (pp. 85-103). 2005

Persistent link: https://www.econbiz.de/10003276172

Credit default swaps and the credit crisis

Stulz, René M. - 2009

Persistent link: https://www.econbiz.de/10003887672

Credit default swaps and the credit crisis

Stulz, René M. - 2009

Persistent link: https://www.econbiz.de/10003890835

Short positions, rally fears and option markets

Eberlein, Ernst; Madan, Dilip B. - In: Applied mathematical finance 17 (2010) 1/2, pp. 83-98

Persistent link: https://www.econbiz.de/10003975322

Financial derivatives : lessons from the subprime crisis

Stulz, René M. - In: The Milken Institute review 11 (2009) 1, pp. 58-70

Persistent link: https://www.econbiz.de/10008902697

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

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