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Pricing product options and using them to complete markets for functions of two underlying asset prices

Madan, Dilip B.; Wang, King - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-19

Options paying the product of put and/or call option payouts at different strikes on two underlying assets are observed to synthesize joint densities and replicate differentiable functions of two underlying asset prices. The pricing of such options is undertaken from three perspectives. The...

Persistent link: https://www.econbiz.de/10012626539

The valuation of corporations : a derivative pricing perspective

Madan, Dilip B.; Wang, King - In: Annals of finance 19 (2023) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10014253867

Measuring dependence in a set of asset returns

Madan, Dilip B.; Wang, King - In: Asia Pacific financial markets 30 (2023) 2, pp. 363-385

Persistent link: https://www.econbiz.de/10014342359

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

Conic asset pricing and the costs of price fluctuations

Madan, Dilip B.; Schoutens, Wim - In: Annals of finance 15 (2019) 1, pp. 29-58

Persistent link: https://www.econbiz.de/10012058189

Equilibrium asset returns in financial markets

Madan, Dilip B.; Schoutens, Wim - In: International journal of theoretical and applied finance 22 (2019) 2, pp. 1-43

Persistent link: https://www.econbiz.de/10012013852

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

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

Monitored financial equilibria

Madan, Dilip B. - In: Journal of banking & finance 28 (2004) 9, pp. 2213-2235

Persistent link: https://www.econbiz.de/10002153139

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