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Recovering statistical theory in the context of model calibrations

Madan, Dilip B. - In: Journal of financial econometrics : official journal of … 13 (2015) 2, pp. 260-292

Persistent link: https://www.econbiz.de/10011339334

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

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

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

Conserving capital by adjusting deltas for gamma in the presence of skewness

Madan, Dilip B. - In: Journal of risk and financial management : JRFM 3 (2010) 1, pp. 1-25

An argument for adjusting Black Scholes implied call deltas downwards for a gamma exposure in a left skewed market is presented. It is shown that when the objective for the hedge is the conservation of capital ignoring the gamma for the delta position is expensive. The gamma adjustment factor in...

Persistent link: https://www.econbiz.de/10011555954