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Asymmetries in financial returns
Madan, Dilip B.; Wang, King - In: International journal of financial engineering 4 (2017) 4, pp. 1-37
Persistent link: https://www.econbiz.de/10011807103
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On valuing stochastic perpetuities using new long horizon stock price models distinguishing booms, busts, and balanced markets
Madan, Dilip B.; Yor, Marc - In: Mathematical finance : an international journal of … 26 (2016) 2, pp. 296-328
Persistent link: https://www.econbiz.de/10011577146
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Nonrandom price movements
Madan, Dilip B.; Wang, King - In: Finance research letters 17 (2016), pp. 103-109
Persistent link: https://www.econbiz.de/10011596246
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Stochastic Power Variations in Financial Returns
Madan, Dilip B.; Wang, King - 2022
For underlying asset motions calibrating skewness and kurtosis beyond the volatility it becomes possible to consider …. Markovian discrete time approximations are simulated to incorporate stochasticity in all three entities, volatility, skewness … stochasticity in volatility and skewness. Implications for a log normal volatility of volatility are presented along with the …
Persistent link: https://www.econbiz.de/10013306938
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An empirical examination of the variance-gamma model for foreign currency options
Daal, Elton A.; Madan, Dilip B. - In: The journal of business : B 78 (2005) 6, pp. 2121-2152
Persistent link: https://www.econbiz.de/10003294713
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Risk premia in option markets
Madan, Dilip B. - In: Annals of finance 12 (2016) 1, pp. 71-94
Persistent link: https://www.econbiz.de/10011555434
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Pricing the risks of default
Madan, Dilip B.; Unal, Haluk - In: Review of derivatives research 2 (1998) 2/3, pp. 121-160
Persistent link: https://www.econbiz.de/10001497930
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Stock return characteristics, skew laws, and the differential pricing of individual equity options
Bakshi, Gurdip S.; Kapadia, Nikunj; Madan, Dilip B. - In: The review of financial studies 16 (2003) 1, pp. 101-143
Persistent link: https://www.econbiz.de/10001764187
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Returns of Claims on the Upside and the Viability of U-Shaped Pricing Kernels
Bakshi, Gurdip - 2012
When the pricing kernel is U-shaped, then expected returns of claims with payout on the upside are negative for strikes beyond a threshold, determined by the slope of the U-shaped kernel in its increasing region, and have negative partial derivative with respect to strike in the increasing...
Persistent link: https://www.econbiz.de/10013116311
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Returns of Claims on the Upside and the Viability of U-Shaped Pricing Kernels
Bakshi, Gurdip - 2018
When the pricing kernel is U-shaped, then expected returns of claims with payout on the upside are negative for strikes beyond a threshold, determined by the slope of the U-shaped kernel in its increasing region, and have negative partial derivative with respect to strike in the increasing...
Persistent link: https://www.econbiz.de/10012940716