Similar Search Results

The multinomial option pricing model and its Brownian and Poisson limits

Madan, Dilip B. - In: The review of financial studies 2 (1989) 2, pp. 251-265

Persistent link: https://www.econbiz.de/10001106370

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 multinomial option pricing model and its limits

Madan, Dilip B.; Milne, Frank - 1988

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

Validation of profit and loss attribution models for equity derivatives

Madan, Dilip B.; Wang, King - In: The journal of risk model validation 12 (2018) 1, pp. 29-47

Persistent link: https://www.econbiz.de/10011869730

Spanning and derivative-security valuation

Bakshi, Gurdip S.; Madan, Dilip B. - In: Journal of financial economics 55 (2000) 2, pp. 205-238

Persistent link: https://www.econbiz.de/10001448505

Optimal investment in derivative securities

Carr, Peter; Jin, Xing; Madan, Dilip B. - In: Finance and stochastics 5 (2001) 1, pp. 33-59

Persistent link: https://www.econbiz.de/10001553046

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

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

Pricing equity default swaps under the CGMY Lévy model

Asmussen, Søren (contributor); Madan, Dilip B. (contributor) - 2005

Persistent link: https://www.econbiz.de/10003093868

Machine learning for quantitative finance : fast derivative pricing, hedging and fitting

De Spiegeleer, Jan; Madan, Dilip B.; Reyners, Sofie; … - In: Quantitative finance 18 (2018) 10, pp. 1635-1643

Persistent link: https://www.econbiz.de/10012259802