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It takes two to Tango : estimation of the zero-risk premium strike of a call option via joint physical and pricing density modeling

Höcht, Stephan; Madan, Dilip B.; Schoutens, Wim; … - In: Risks : open access journal 9 (2021) 11, pp. 1-19

It is generally said that out-of-the-money call options are expensive and one can ask the question from which moneyness level this is the case. Expensive actually means that the price one pays for the option is more than the discounted average payoff one receives. If so, the option bears a...

Persistent link: https://www.econbiz.de/10012704022

Bilateral multiple gamma returns : their risks and rewards

Madan, Dilip B.; Schoutens, Wim; Wang, King - In: International journal of financial engineering 7 (2020) 1, pp. 1-27

Persistent link: https://www.econbiz.de/10012602702

Nonlinear equity valuation using conic finance and its regulatory implications

Madan, Dilip B. - In: Mathematics and financial economics 13 (2019) 1, pp. 31-65

Persistent link: https://www.econbiz.de/10012055751

Efficient estimation of expected stock price returns

Madan, Dilip B. - In: Finance research letters 23 (2017), pp. 31-38

Persistent link: https://www.econbiz.de/10011808349

Three non-Gaussian models of dependence in returns

Madan, Dilip B. - In: Advanced modelling in mathematical finance : in honour …, (pp. 107-130). 2016

Persistent link: https://www.econbiz.de/10011800343

Investigating the role of systematic and firm-specific factors in default risk : lessons from empirically evaluating credit risk models

Bakshi, Gurdip S.; Madan, Dilip B.; Zhang, Frank Xiaoling - In: Credit risk : models, derivatives, and management, (pp. 155-180). 2008

Persistent link: https://www.econbiz.de/10003718458

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

Investigating the sources of default risk : lessons from empirically evaluating credit risk models

Bakshi, Gurdip S.; Madan, Dilip B.; Zhang, Frank X. - 2001

Persistent link: https://www.econbiz.de/10001573166

A simple approach to estimate recovery rates with APR violation from debt spreads

Unal, Haluk (contributor); Madan, Dilip B. (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001576030

Is mean-variance analysis vacuous : or was beta still born?

Jarrow, Robert A. - In: European finance review : the official journal of the … 1 (1997) 1, pp. 15-30

Persistent link: https://www.econbiz.de/10001244804